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Portfolio C has six positions of $1 million each. The standard deviation of the returns is 15% for each position. The correlations between each pair of returns is 0.25. Based on the information provided, the VAR of Portfolio C at a 2.5% significance level is closest to: A. $909,373. B. $1,284,145. C. $1,587,781. D. $1,080,225. |