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13. *Suppose the price of an asset P follows a normal random walk, i.e. Pt = Potrit... tri with 1, 12, ... being jointly normal,

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13. *Suppose the price of an asset P follows a normal random walk, i.e. Pt = Potrit... tri with 1, 12, ... being jointly normal, with Eri = u, var(ri) =o', cor(ri,r;) =0.5 ifi # j Suppose the VaR of rt is VaR,(rt) at level q, find the VaR of the price in T days, i.e. VaR,(Pt - Pt-T)

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