I went through the most advanced books on statistics and still can't find an answer. There is a well known formula for combining volatility of two correlating variables, but what about adding the actual amounts, which are already known?
Here is a simply put problem:
We know that the anticipated loss from factor X = 30%, anticipated loss from factor Y = 50% It is also known, that the coefficient of correlation between factor X and Y = -0.6 What cumulative loss from both factors should we expect?
P.S. A citation to a book or publication would be super appreciated