The covariance of returns on Asset A and Asset B are negative. What does this tell us

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The covariance of returns on Asset A and Asset B are negative.

What does this tell us about the correlation coefficient for their returns? If we form a portfolio comprised of Asset A and Asset B, what is the relation between the portfolio’s risk and that of Asset A and Asset B considered separately?

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Financial Management And Analysis (Frank J. Fabozzi Series)

ISBN: 9780471477617

2nd Edition

Authors: Frank J. Fabozzi, Pamela P. Peterson

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Question Posted: Jun 10, 2024 02:12 AM

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The covariance of returns on Asset A and Asset B are negative. What does this tell us

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Financial Management And Analysis (Frank J. Fabozzi Series)

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