Calculate the 99% 1-day Value at Risk of a portfolio worth $10m with expected returns...

Be wary of questions asking you to calculate VaR where the mean or expected returns are different from zero. The VaR formula of z-value times standard deviation needs to have an adjustment for the expected return [ie use VaR = z-value times standard deviation minus expected return]. In this case, the standard deviation for 1 day for the portfolio is =SQRT(1/250)*20%*$10m = $126,491. The VaR is therefore (2.326 * $126,491) - ($10,000,000 * 10% * 1/250) = $290,218.