1) A portfolio consists of 3 securities have the following characteristics in terms of standard deviation, proportion of investment and correlation coefficient. Security Standard deviation
1) A portfolio consists of 3 securities have the following characteristics in terms of standard deviation, proportion of investment and correlation coefficient.
Security Standard deviation Correlation Coefficient Proportion of investment
A 10 PAB =0.3 50%
B 15 PAB= 0.5 30%
C 20 PAB= 0.6 20%
Required: Calculate standard deviation of portfolio returns
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Authors: Maurice D Levi
5th Edition
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