The Better of Two Correlated Books

Two trading books post daily returns X X and Y Y , each standard normal, with correlation ρ \rho . Each evening the firm highlights whichever book did better. Find E[max⁡(X,Y)] E[\max(X, Y)] as a function of ρ \rho , and check your formula at ρ=1 \rho = 1 .

Answer

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