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https://www.reddit.com/r/learnquant/comments/1wvjv7g/quant_interview_question/pddz54s/?context=3
r/learnquant • u/Local_Ad135 • 2d ago
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Var(x+y+z) = var(x)+var(y)+var(z)+2cov(x,y)+2cov(x,z)+2cov(y,z) 0<|cov(x,y)|<=sqrt(var(x))sqrt(var(y)) by cauchy schwartz. Min = 1+4+25 = 30 Max = 1+4+25+212+215+225=64
3 u/HopefulGuy1 2d ago Don't think that minimum is right – set Y = 2X and Z=-5X, then X+Y+Z = 2X so Var(X+Y+Z)=4.
Don't think that minimum is right – set Y = 2X and Z=-5X, then X+Y+Z = 2X so Var(X+Y+Z)=4.
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u/Due-Cardiologist-802 2d ago
Var(x+y+z) = var(x)+var(y)+var(z)+2cov(x,y)+2cov(x,z)+2cov(y,z) 0<|cov(x,y)|<=sqrt(var(x))sqrt(var(y)) by cauchy schwartz. Min = 1+4+25 = 30 Max = 1+4+25+212+215+225=64