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Let AP, be the changes in the value of a portfolio on day i. Assume...

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Let AP, be the changes in the value of a portfolio on day i. Assume that the correlation between AP, and AP-1 is p for all i (the first-order autocorrelation). Suppose that the variance of AP is o2 for all i. Demonstrate that the variance of LX, AP, is 02 [N+2(N 1)p+2(N 2)p? + ... +2pN-1]. As one example, let p = 0.1, 0 = 3(million). What is the five-day 95% VaR of this portfolio? Let AP, be the changes in the value of a portfolio on day i. Assume that the correlation between AP, and AP-1 is p for all i (the first-order autocorrelation). Suppose that the variance of AP is o2 for all i. Demonstrate that the variance of LX, AP, is 02 [N+2(N 1)p+2(N 2)p? + ... +2pN-1]. As one example, let p = 0.1, 0 = 3(million). What is the five-day 95% VaR of this portfolio

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