Quantitative AnalysisHard
Two assets have a correlation of 0.7. Using Cholesky decomposition to generate correlated standard normal variables, if the independent draws are Z1 = 1.5 and Z2 = -0.8, the correlated variable for asset 2 is closest to:
Two assets have a correlation of 0.7. Using Cholesky decomposition to generate correlated standard normal variables, if the independent draws are Z1 = 1.5 and Z2 = -0.8, the correlated variable for asset 2 is closest to: