agrap tyle 5 5 3. Daily returns for a $5 million portfolio are normally distributed with a mean of 0.05% and a standard deviation of 1%. The portfolio has a first-order autocorrelation coefficient of 0.15. a. Compute the 95% confidence level 1-day, 10-day, and 50-day VaR of the portfolio neglecting the autocorrelation. b. Compute the 95% confidence level 1-day, 10-day, and 50-day VaR of the portfolio taking the autocorrelation into account. 2