You have $8600 to invest. You decide to invest $17,000 in Google and short sell $8400 worth

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You have $8600 to invest. You decide to invest $17,000 in Google and short sell $8400 worth of Yahoo! Google’s expected return is 14% with a volatility of 26% and Yahoo!’s expected return is 12% with a volatility of 26%. The stocks have a correlation of 0.92. What is the expected return and volatility of the portfolio?

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Corporate Finance The Core

ISBN: 9781292158334

4th Global Edition

Authors: Jonathan Berk, Peter DeMarzo

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