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