Consider two assets with returns 1 i , i 1, 2, where s have a joint normal distribution, E i 0, Corr 1 , 2 Let K i be the profit of an investment in the ith asset, and K be the total profit Prove that

Question: Consider two assets with returns 1+ i , i = 1, 2, where s have a joint normal distribution, E{ i } = 0, Corr{

Consider two assets with returns 1+ξ_i, i = 1, 2, where ξ’s have a joint normal distribution, E{ξ_i} = 0, Corr{ξ₁, ξ₂} = ρ. Let K_i be the profit of an investment in the ith asset, and K be the total profit. Prove that

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