Suppose that revenue has the form where (h) can be chosen and (x) and (y) are random

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Suppose that revenue has the form

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where $h$ can be chosen and $x$ and $y$ are random variables. The distribution of $x$ and $y$ is symmetric about $(0,0)$; that is, $-x,-y$ has the same distribution as $x, y$. Show that the choice of $h$ that minimizes the variance of $R$ is

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 20, 2024 12:00 PM

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Suppose that revenue has the form where (h) can be chosen and (x) and (y) are random

Question:

R=Axy+Bx-hy,

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Investment Science

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