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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
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.
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