medium · Quantitative Finance prob-stats
A bivariate normal distribution describes assets X and Y with means μ_X=8%, μ_Y=5%, volatilities σ_X=20%, σ_Y=15%, and correlation ρ=0.60.
Given that X is observed at 28%, what is the conditional expected return of Y?
- 14%
- 17%
- 5%
- 20%
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