Question: (Minimizing Variance) Correlation can be exploited to reduce the variance of a linear combination of random variables. Let $z = [z_1, z_2']$ be a two-dimensional

(Minimizing Variance) Correlation can be exploited to reduce the variance of a linear combination of random variables. Let $z = [z_1, z_2']$ be a two-dimensional random variable with a mean equal to the zero vector and the nonsingular variance matrix $\Omega$. Solve

argmin Var[21 +022]

What determines the sign of $\alpha^*$?

argmin Var[21 +022]

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