Consider a daily stock return time series (continuously compounded) that follows a Gaussian White Noise model: Rt ~ N(0.002,0.022). We can write this as Rt= + t, where:

a. has a mean of:

b. has a variance of:

c. has a mean of:

d. has a variance of:

According to this model (assuming 1 month = 21 trading days):

e. What is the monthly mean return?

f. What is the monthly variance?

Suppose the starting price is $10.

g. The stock price after 25 days will have a _______ distribution.

h. The log-price after 25 days will have a mean of:

i. and a variance of: