. Let rt be a log return. Suppose that r1, r2 . . . are i.i.d. N (0.02, 0.09).
(a) What is the distribution of r0,10 = r1 + r2 + . . . + r10?
(b) What is P r(r0,10 <= 0.3)?
(c) What is the conditional distribution of r6 given that r3 = .01?
(d) What is the covariance between r0,2 = r1 + r2 and r1,3 = r2 + r3