1856统计简单derivationshort
Horizon Risk Budget Ratio 1
题目
A stationary mean-reverting spread obeys X_(t+1) = 1/2 X_t + epsilon_(t+1), where Var(epsilon_(t+1)) = 4. Starting from the current level, what fraction of the same-horizon random-walk forecast-error variance does the 4-step mean-reverting forecast-error variance represent?
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