A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon?
A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon? A.$1.2 million; B.$2.0 million; C.$2.5 million; D.$3.1 million