easy · FRM Part 1 Quantitative Analysis
In the expression Var(aX + bY) = a^2σ_X^2 + b^2σ_Y^2 + 2abσ_Xσ_Yρ_XY, what does the term ρ_XY represent?
- The standard deviation of the portfolio
- The correlation between X and Y
- The excess return of Asset Y
- The relative weight of Asset X
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