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?