Prove that the correlation between XA and XB is ?, where: X X X X X X A B = + – = + – ? ? ? ? 1 2 1.

Prove that the correlation between XA and XB is ?, where: X X X X X X A B = + – = + – ? ? ? ? 1 2 1 3 1 1 and X1, X2, and X3 are uncorrelated standard normal variables. 12. Imagine we have two independent uniform distributions, A and B. A ranges between -2 and -1, and is zero everywhere else. B ranges between +1 and +2, and is zero everywhere else. What are the mean and standard deviation of a portfolio that consists of 50% A and 50% B? What are the mean and standard deviation of a portfolio where the return is a 50/50 mixture distribution of A and B?

"Is this question part of your assignment? We can help"

ORDER NOW

0 replies

Leave a Reply

Want to join the discussion?
Feel free to contribute!

Leave a Reply

Your email address will not be published. Required fields are marked *