**Question 790** mean and median returns, return distribution, arithmetic and geometric averages, continuously compounding rate, log-normal distribution, VaR, confidence interval

A risk manager has identified that their hedge fund’s continuously compounded portfolio returns are normally distributed with a mean of **10**% pa and a standard deviation of **30**% pa. The hedge fund’s portfolio is currently valued at $**100** million. Assume that there is no estimation error in these figures and that the normal cumulative density function at 1.644853627 is 95%.

Which of the following statements is **NOT** correct? All answers are rounded to the nearest dollar.