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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