Suppose that X and Y have a joint distribution with correlation 1 2 and that Var(X) Var(Y) 1 Show that b 1 2 is the unique value of b such that the correlation of X and X bY is also ...

CovXX bY VarX b CovX Y 1b VarX 1 Va ...

Suppose that X and Y have a joint distribution with correlation > 1/2 and that Var(X)

Question:

Suppose that X and Y have a joint with correlation ρ > 1/2 and that Var(X) = Var(Y) = 1. Show that b=− 1/2ρ is the unique value of b such that the correlation of X and X + bY is also ρ.
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...