Hi David, Nicole,

I have question about the delta normal VAR in P1.T4. When I have a yearly expected return [E(r) year - z*(sigma year/ sqrt 250) *$] given in a question how should I translate this for e.g. to a daily expected return. I know it is somewhere in the BT material but I can't find it anymore.

The square root rule doesn't t apply to this part (E(r)) in the formula of delta normal VAR. right?

Looking forward to your explanation!!

Kr,

Bart

I have question about the delta normal VAR in P1.T4. When I have a yearly expected return [E(r) year - z*(sigma year/ sqrt 250) *$] given in a question how should I translate this for e.g. to a daily expected return. I know it is somewhere in the BT material but I can't find it anymore.

The square root rule doesn't t apply to this part (E(r)) in the formula of delta normal VAR. right?

Looking forward to your explanation!!

Kr,

Bart

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