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5. Consider two assets X and Y where their returns are Normally distributed with the given mean and volatility. X and Y are additionally 30%
5. Consider two assets X and Y where their returns are Normally distributed with the given mean and volatility. X and Y are additionally 30% correlated. Assume 1 dollar in each. XN(6%,20%)YN(10%,30%) a) What are the mean, median, 5th and 95th percentiles for X and Y at a 5 year horizon? b) What is the mean and volatility for X+Y ? c) What is the 5th percentile for X+Y ? d) What is the diversification benefit at the 5th percentile
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
