E(θX+(1-θ)Y)=E(θX)+E[(1-θ)Y]=θEX+(1-θ)EY=θυ1+(1-θ)υ2
D(θX+(1-θ)Y)=E{[θX+(1-θ)Y]-E[θX+(1-θ)Y]}^2=E{θ[X-EX]+(1-θ)[Y-EY]}^2
=E{(θ^2)[(X-Ex)^2]+2θ(1-θ)(X-EX)(Y-EY)+[(1-θ)^2][(Y-EY)^2]}
=(θ^2)[(σ1)^2]+[(1-θ)^2][(σ2)^2]+2θ(1-θ)(ρxy)(σ1)(σ2)
ρxy为x、y的相关系数.