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