Question: Let X and Y be two random variables and a, b, c and d are four fixed scalars. Show that cov(aX+by, cX+dY) = ac

Let X and Y be two random variables and a, b, c

Let X and Y be two random variables and a, b, c and d are four fixed scalars. Show that cov(aX+by, cX+dY) = ac var(X) + (ad + bc) cov(X,Y) + bd var(Y).

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