medium · FRM Part 2 Risk & Investment Management
A Chief Risk Officer notes that a private credit portfolio's reported volatility is 4.0%. Upon analysis, the returns exhibit a first-order autocorrelation of 0.60.
By what factor is the portfolio's 'true' volatility higher than its reported volatility?
- 2.50
- 4.00
- 2.00
- 1.58
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