Nneetquant

Variance of a linear combination

EasyRandom VariablesStatistics~3m

Write the general formula for Var⁡(aX+bY)\operatorname{Var}(aX + bY).

Show hints (2)+
  1. Don't forget the covariance cross term.
  2. It carries a factor of 2ab.

Answer

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Asked at: Akuna Capital, Flow Traders

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