Question: Prove |Corr(X1, X2)| 1 by computing V (Y1 + Y2) and V (Y1 Y2), where Yi = Xi/i and 2 i := V

Prove |Corr(X1, X2)| ≤ 1 by computing V (Y1 + Y2) and V (Y1 − Y2), where Yi =

Xi/σi and σ2 i := V (Xi), i = 1, 2.

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