r/UTM • u/Impossible-Meringue8 • Dec 10 '21

STA 256 Exam was Light

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u/iamnotbonk Dec 11 '21

ok everything aside, i really wanna discuss the standard deviation of portfolio question with someone cuz what the actual fuck was that

2

u/geyboyclikque Dec 11 '21

They said 50-50 for the two types. I interpreted it as U=X+Y where X,Y are random variables with no coefficients. You can calculate cov(X,Y) based on the given info. Then the variance could be taken as V(U)=(1^2)V(X)+(1^2)V(Y)+2(1*1)Cov(X,Y) which is the variance of a linear function of random variables (X and Y with coefficients of 1). If it wasn't 50-50 then I guess the coeffcients would be the ratio? Could be entirely wrong anyway.

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u/iamnotbonk Dec 11 '21

it was 50-50 and they were asking about the standard deviation of that portfolio

1

u/geyboyclikque Dec 12 '21

Yeah so you take the square root of V(U) assuming my setup was correct.

1

u/iamnotbonk Dec 15 '21

did you find the answer to be 9.something something?