李坏_品职助教 · 2022年07月08日
嗨,努力学习的PZer你好:
首先surplus = A - L,所以variance(surplus) = variance(A) + variance(L) - 2 * ρ * σ_A * σ_L
variance(A) = (165*0.12) ^2 = 392.04,
variance(L) = (150*0.024)^2 = 12.96,
2 * ρ * σ_A * σ_L = 2 * 0.35 * √392.04 * √12.96 = 49.896
所以variance(surplus) = 392.04 + 12.96 - 49.896 = 355.104
----------------------------------------------努力的时光都是限量版,加油!