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Unformatted text preview: 0.6 6 53 0.886 0 1.7704 0.276 8 -0.1529 0.0328 0.5030 0.9 19 8 0.0279 0.5338 2.6 873 -0.79 6 2 1.3089 0.326 2 1.7711 0.06 58 0.8534 0.016 6 0.5234 1.704 6 0.5807 0.74 6 9 -0.029 3 -0.1234 -0.836 1 -0.16 54 -1.7222 -1.0800 0.4 319 0.16 6 3 1.3307 1.189 6 -0.36 31 1.39 9 4 2.1087 1.59 85 -0.189 7 0.4 159 -1.0074 0.839 6 -1.1232 -0.7078 -1.3516 -1.6 26 3 -0.89 06 -0.3351 -1.324 4 -0.019 6 -0.819 4 -1.059 4 -0.9 74 2 -0.6 154 -0.5555 -0.5756 -1.1584 -0.86 9 8 0.6 054 -0.0512 1.1701 -1.0078 0.9 838 1.3073 0.9 558 0.5104 1.384 9 0.876 5 -0.29 74 0.39 10 -0.4 4 6 0 -0.6 128 0.2380 2.19 54 0.5307 -1.6 831 1.56 59 0.5075 -0.59 76 0.1832 -0.7775 1.09 88 -0.4 09 7 -1.4 6 6 5 0.1359 1.0320 0.9 79 7 0.8037 0.14 20 0.1726 -1.6 828 -0.3517 0.209 7 1.5114 -0.16 01 -0.5117 -1.1036 -0.24 6 7 0.2810 0.3013 -0.3151 0.3750 -0.2730 0.09 17 0.7702 -0.36 08 -1.84 9 0 -0.29 78 1.24 4 6 -0.9 137 0.09 89 0.1556 -0.7086 0.6 6 02 -1.084 5 0.4 4 25 -0.4 4 07 1.086 4 1.056 7 0.6 4 28 0.8887 0.8715 -0.79 17 0.2352 0.6 512 0.7216 -1.3835 -0.4 172 1.9 156 -0.36 19 0.3081 2.0578 0.4 54 2 -0.4 034 -0.3508 -1.0024 2.26 72 -0.259 7 -0.1827 -2.34 59 0.779 9 -1.6 26 0 1.0306 -1.0010 0.14 02 0.6 4 26 -1.8503 0.9 4 86 -0.1133 1.9 16 0 -0.4 172 -1.39 4 1 -0.206 7 0.3584 0.8008 -0.9 129 -0.1373 -0.156 1 1.26 55 -1.4 172 2.4 516 -0.209 2 0.3309 -1.8839 -0.019 0 0.4 114 -0.04 21 -0.4 34 5 2.6 6 80 -1.4 070 0.5088 -0.89 37 1.6 074 -0.386 0 0.1813 0.4 813 -1.4 9 04 1.6 512 1.6 6 30 1.4 6 76 -0.2730 -0.39 11 0.776 8 -0.6 376 -0.259 9 -0.54 6 9 0.9 350 0.34 6 1 -0.584 5 -0.6 888 -0.0071 -1.3012 -0.39 33 1.4 856 0.9 086 -0.24 81 0.1030 -2.29 19 -0.006 1 0.6 9 18 -1.4 16 1 1.19 6 0 -1.079 8 0.4 4 37 -0.76 4 2 0.29 17 0.19 78 1.789 4 -0.9 278 2.0859 -0.4 4 07 1.06 55 -1.2520 0.39 6 3 -0.9 228 -0.74 58 -0.59 36 -0.016 3 1.1807 1.836 5 -0.4 326 2.0181 -2.814 6 -0.086 4 0.4 826 0.6 89 5 1.119 0 -0.7338 -1.8279 -0.4 86 1 0.3858 0.3206 -2.314 7 0.804 2 0.1784 0.6 012 1.6 388 1.2158 -0.7151 -0.4 79 2 0.779 5 1.5211 -1.29 55 2.7137 -1.586 8 -1.5820 -2.004 2 -0.184 4 -1.4 035 -0.06 9 6 -2.224 4 0.4 814 -0.86 75 1.4 553 -1.84 9 9 0.6 9 84 -1.0030 -0.7032 1.7722 -1.0228 0.4 782 2.1223 0.4 820 0.359 0 -1.4 9 53 -0.6 011 -0.54 4 0 -1.2274 1.809 5 0.554 7 -0.2079 0.16 4 0 -0.56 9 2 -0.2088 0.4 872 -0.726 9 -0.8123 -0.76 4 6 -0.4 9 89 0.86 34 -0.4 278 1.7182 0.76 4 3 0.8388 1.6 257 1.19 26 0.54 02 -1.6 9 9 4 -0.2137 -0.6 9 51 0.7724 -0.519 4 0.534 9 1.5208 1.0214 2.6 4 9 7 -1.9 6 01 -0.4 784 -1.2054 -1.39 01 0.2704 -1.159 1 -0.0285 -1.836 1 0.2137 0.0735 -1.8885 1.6 6 88 -1.9 717 -0.4 779 0.0786 0.8880 -1.519 9 -0.9 287 -0.734 3 0.9 139 -0.89 32 ρ Cholesky Decomposition (1-ρ2 )1 /2 ρ In thi s q uestio n we first g ene rate u nco rrela te d rand om numb ers usin g E xcel's Anal ysis Tool Pak. Th e Cho lesky de compo sition i s the n u sed to corre late these ra ndo m n umbe rs. M ore de ta ils can b e fo und o n pag es 121 3 in C hap te r 8 . T h re s ho l d C o rr e la t io n 0.8 0 -1.2775 -0.6 001 0.6 16 8 -1....
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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