Question: Let rt be a log return. Suppose that r1, r2, . . . are i.i.d. N(0.06, 0.47). (a) What is the distribution of rt(4) =

Let rt be a log return. Suppose that r1, r2, . . . are i.i.d. N(0.06, 0.47).
(a) What is the of rt(4) = rt + rt-1 + rt-2 + rt-3?
(b) What is P{r1(4) < 2}?
(c) What is the covariance between r1(2) and r2(2)?
(d) What is the conditional of rt(3) given rt-2 = 0.6?

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