The rates of return per dollar invested in two common stocks over a given investment period can be viewed as the outcome of a bivariate normal distribution N(m,S). The rates are independent between...


The rates of return per dollar invested in two common stocks over a given investment period can be viewed as the outcome of a bivariate normal distribution N(m,S). The rates are independent between investment periods. An investment firm intends to use a random sample from the N(m,S) population distribution of rates of return to generate estimates of the expected rates of return, m, as well as the variances in the rates of return, given by the diagonal of S.


If an investor invests $500 in each of the two investments, what is the MVUE of her expected dollar return on the investment during the investment period under consideration?



Jan 02, 2022
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