i am having a hard time understand the following question:
Consider two stocks A and B. Assume their annual returns are jointly normally distributed, the marginal distribution of each stock has mean 2% and standard deviation 10%, and the correlation is 0.9. what is the expected annual return of stock A if annual return of stock B is 3%?
The answer is A 2.9%
can any tell me why the answer is 2.9%? i really dun understand, much appreciated!!