5.17. Suppose that a portfolio manager is examining two sectors of the U.S. economy in which to...
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5.17. Suppose that a portfolio manager is examining two sectors of the U.S. economy in which to invest. She constructs Z-scores relative to the sector for each stock. The cross-sectional volatility of stock returns for the latest month is 20% and 40%, and the correlation between the Z-score and returns of stocks is 0.2 and 0.1 for stocks in sectors A and B, respectively.
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Quantitative Equity Portfolio Management
ISBN: 9780071459396
1st Edition
Authors: Ludwig B Chincarini, Daehwan Kim
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