Question: ( c ) Let r 1 and r 2 be the annual returns both normally distributed with means 0 . 4 and 0 . 3

(c) Let r1 and r2 be the annual returns both normally distributed with means 0.4 and 0.3 and
standard deviations 0.2 and 0.35, respectively. The correlation between r1 and r2 is -0.6.
An investment has a value R=60(1+r1)-10(1+r2). Calculate the downside semi-
variance of R.
(c) Let r1 and r2 be the annual returns both normally

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