2. 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 4, AP, is o? [N+2(N 1)p+2(N 2)p2 + ... +2pN-1]. = 3(million). What is the five-day 99% VaR of this As one example, let p = 0.1, 0 portfolio? 2. 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 4, AP, is o? [N+2(N 1)p+2(N 2)p2 + ... +2pN-1]. = 3(million). What is the five-day 99% VaR of this As one example, let p = 0.1, 0 portfolio