Question
1. If A,B,C secerities have 10% expected return per year, 25% standard deviation per year. Securities A and B have a 0% correlation, and securities
1. If A,B,C secerities have 10% expected return per year, 25% standard deviation per year. Securities A and B have a 0% correlation, and securities A and C have less than 0% correlation. Which one is the correct answer? (If portfolio AB has an equal portion of securities A and B, portfolio AC has an equal portion of securities A and C)
a. Portfolio AC has expected return lower than 10% b. Portfolio AC has expected return more than 25% c. Portfolio AB has the standard deviation more than 25% d. Portfolio AC has the standard deviation lower than 25%
2. If securities A and B have 12% expected return, 25% standard deviation, beta 1.2, and the correlation 0.6. If portfolio AB has an equal portion of securities A and B. Which one is the correct answer?
a. Portfolio AB has expected return lower than 12% b. Portfolio AB has expected return more than 25% c. Portfolio AB has the standard deviation more than 25% d. Portfolio AB has beta less than 1.2
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Predicting Stock Returns Implications For Asset Pricing
Authors: David G McMillan
1st Edition
3319690078,3319690086
