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Calculate the VAR for the following situations:
a. Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 million. Assume an expected return of $0.0.
b. Use the historical method and the following information for the last 120 days of returns to calculate an approximate VAR for a portfolio of $20 million using a probability of 0.05:
Less than -0%
5
-10% to -5%
18
-5% to 0%
42
0% to 5%
36
5% to 10%
15
Greater than 10%
4
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