Suppose x1 N(1, 5) and x2 N(2, 2). The covariance between x1 and x2 is 1.3.

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Suppose x1∼ N(1, 5) and x2 ∼ N(−2, 2). The covariance between x1 and x2 is 1.3. What is the distribution of x1+ x2? What is the distribution of x1− x2?
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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