Suppose that the current daily volatilities of asset A and asset B are 1.6% and 2.5%, respectively.
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Suppose that the current daily volatilities of asset A and asset B are 1.6% and 2.5%, respectively.
The prices of the assets at close of trading yesterday were $20 and $40 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was
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