A
Acadi
Fi
Courses
Knowledge Hub
Community
Practice
Pricing
About
Search
⌘K
Question Bank
/
FRM
/
Part I
/
Quantitative Analysis
Quantitative Analysis
Hard
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:
A
0.478
B
-0.800
C
1.050
D
0.700
Select an answer to continue
Tags
#cholesky-decomposition
#correlated-simulation
#monte-carlo
More Quantitative Analysis questions
Start full Part I quiz