Question: Show that when combining two forecasts, if the correlation between the two sets of forecast errors is p = a 1ja2, then Min Var [e~+r(T)]

Show that when combining two forecasts, if the correlation between the two sets of forecast errors is p = a 1ja2, then Min Var [e~+r(T)] = a 1 2, where a?

is the smaller of the two forecast error variances.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Investment Analysis Portfolio Questions!

SHOW ALL WORK PLS Two different forecasting techniques (F1 and F2) were used to forecast demand for cases of bottled water. Actual demand and the two sets of forecasts are as follows: Period Demand...

read this report and answer questions provided: ICTE in Transportation and Logistics 2018 (ICTE 2018) Demand forecasting in pharmaceutical supply chains: A case study Galina Merkuryeva"*, Aija...

please use excel and show all steps/ equations!!! CASE STUDY Specialty Packaging Corporation Julie Williams had a lot on her mind when she left the form the sheet into containers and trim the...

please solve using the tahoe salt model provided. use excel and show ALL STEPS/ EQUATIONS. I have posted this question multiple times and no one has answered would be nice to actually get some help....

I need help with building a Business case Abstract International trade becomes increasingly frequent with the deepening of economic globalization. In order to ensure the stable and rapid development...

Write 2 paragraphs about Macro risks and the term structure of interest rates article. No max word count, page count, or formatting requirements but has to be submit to my tutor's work as my own....

Probability and Statistics - Problem Set c Keith M. Chugg October 2, 2015 1 Preliminaries, Combinatorics, Set Probability 1.1. A number of bats are in a cave. 2 bats can see out of their left eye. 3...

SEE "DOCUMENT 1" FOR CRITERIA 2 "DOCUMENT 2" FOR CRITERIA 4 You are to write a 3 to 4 page paper following APA rules for the title page, citations and appropriate references within the body of the...

For each item on the following list, give a reasonable method of sterilization. You cannot use the same method more than three times for the whole list. The method must sterilize, not just disinfect;...

Wool ford Inc. declared a cash dividend of $1.00 per share on its 2 million outstanding shares. The dividend was declared on August 1, payable on September 9 to all stockholders of record on August...

Which of the following statements regarding share repurchases is not true ? Group of answer choices Shares repurchased can be held as treasury stock or retired from the accounting records. Share...

a. Financial statements should aid the user of the statements in making decisions. In your opinion, would the user of the statements be aided if there were a distinction between financial reporting...