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Thread: BiVariate Normal distribution of a portfolio

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    BiVariate Normal distribution of a portfolio

    I'll attempt to solve via Excel and see what I can find before posing the question. Thanks, however.

    In the meantime, I did want to confirm a few probability questions - should be rather simple, but a second solution can only help:

    X is the % increase in "A" index, Y is the % increase in "B" index. Joint normal distribution.
    X mean is 11%, X std. is 13%. Y mean is 10%, y std. is 12%.
    CORR (X,Y) is 0.43

    1.) Probability that "A" will increase by more than 11%
    2.) Probability that "A" will decrease by more than 11%
    3.) Probability that "B" will increase by an amount less than 15%
    4.) What is the distribution of X-Y? What is the probability that X is greater than Y?
    5.) 30% of a pool is in "A" and 70% is in "B". What is the expected return of the combined pool? What is the std. of the return?
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  2. #2
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    Re: BiVariate Normal distribution of a portfolio

    BiVariate Normal distribution of a portfolio-clipboard01.jpg

    BiVariate Normal distribution of a portfolio-clipboard02.jpg
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