- CFA Exams
- CFA Exam: Level I 2021
- Study Session 3. Quantitative Methods (2)
- Reading 9. Common Probability Distributions
- Subject 7. The Univariate and Multivariate Distributions

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**CFA Practice Question**

Which of the following does (do) not describe a multivariate normal distribution for the return on n stocks?

II. n variances

III. sum of n mean returns

IV. n(n-1)/2 correlations

I. n mean returns

II. n variances

III. sum of n mean returns

IV. n(n-1)/2 correlations

Correct Answer: III only

A multivariate normal distribution is completely specified if one has the lists for the mean returns, variances, and correlations or covariances between the variables.

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