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Largest covariance allowed by two variances

Question

Random variables X1X_1 and X2X_2 have variances 2424 and 66 respectively, while their means are −3-3 (for X1X_1) and 77 (for X2X_2). What is the greatest value Cov(X1,X2)\text{Cov}(X_1,X_2) can take?

Short answer

1212. By Cauchy–Schwarz (correlation lies in [−1,1][-1,1]), ∣Cov(X1,X2)∣≤24⋅6=12|\text{Cov}(X_1,X_2)|\le\sqrt{24\cdot6}=12, with equality when X2X_2 is an increasing linear function of X1X_1. The means are irrelevant.

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