Aug 13

Properties of variance

by David Harper, CFA, FRM, CIPM

FRM |

Learning objective: List and discuss the properties of variance

Properties of variance include:

3.12_variance_properties_3

Note for FRM candidates:

  • Only if variables are independent, can we can sum the variances.
  • Note the fifth property: Variance (aX) = a^2Var(X). For example, Variance(5X) = 25*Var(X).

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