Question
1. Year Security A HPR Security B HPR 1 2% 26% 2 14% 11% 3 5% 17% Mean 7.00% 18.00% Std. dev. 6.24% 7.55% A
1.
| Year | Security A HPR | Security B HPR |
| 1 | 2% | 26% |
| 2 | 14% | 11% |
| 3 | 5% | 17% |
| Mean | 7.00% | 18.00% |
| Std. dev. | 6.24% | 7.55% |
A portfolio consists of two securities, A and B. The annual security HPRs, arithmetic average HPRs, and standard deviations of the HPRs are above. What is the correlation coefficient for these securities?
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The Validation Of Risk Models
Authors: S. Scandizzo
1st Edition
1137436956, 978-1137436955
