題組內容

1. Define \( \Delta p \) as the daily change for the value of a portfolio in one day. Suppose that one-day volatility (standard deviation) of \( \Delta p \) is 3 and \( \Delta p \) from one day to the next day are independent. The estimate of 4-day volatility for \( \Delta p \) is      1.       (5%) Suppose that daily changes \( \Delta p \) have first-order correlation with 0.1. The 4-day volatility for \( \Delta p \) will be       2.      (5%)

1.