5. Let rt be a log return dened by rt = log Pt - log Pt-1, where Pt

denotes the price of an asset at time t. Suppose that r1, r2, r3.... ; are

i.i.d. N(0.1,0.6).

(a) What is the distribution of rt(3) = rt + rt-1 + rt-2?

(b) What is P(r1(3) < 2)?

(c) What is the covariance between r1(2) and r2(2)?

(d) What is the conditional distribution of rt(3) given rt-2 = 0.8?

Please walk me through the questions. Many many thanks.