Take the two-dimensional random vector |X to be normally distributed with covariance matrix ? What is the

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Take the two-dimensional random vector |X to be normally distributed with covariance matrix

What is the variance of Y = 1| X, with 1| = (11), and what does this correspond to?

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A First Course in Quantitative Finance

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Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 08:27 AM

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Take the two-dimensional random vector |X to be normally distributed with covariance matrix ? What is the

Question:

σ12 Σ Ισ12σ3,

Step by Step Answer:

The variance of Y is given by VarY EY EY2 E1X E1X2 E1X 11EX2 E1X 112 To find the expected value of 1...View the full answer

A First Course in Quantitative Finance

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