How to calculate these Expected Value
- From: "christopher" <wychan.chris@xxxxxxxxx>
- Date: 31 Aug 2006 11:01:01 -0700
3 random variable X, Y, Z
ln(X) ~ Normal (0, Var(X))
ln(Y) ~ Normal (0, Var(Y))
ln(Z) ~ Normal (0, Var(Z))
X, Y, Z are not independently distributed but Covariance Matrix is
given
How to find
1. Prob(min(X,Y,Z)<k)
2. E(average(X,Y,Z))
3. E(average(X,Y,Z))|min(X,Y,Z)<k)
4. E(average(X,Y,Z))|min(X,Y,Z)>=k)
Are there any analytical solution? or I have to do simulation.
Thanks
.
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