Question
A bank holds two bond positions both of which have a DEAR of $5 million. The correlation coefficient between the two bond portfolios daily returns
A bank holds two bond positions both of which have a DEAR of $5 million. The correlation coefficient between the two bond portfolios daily returns is 0.4. Which one is closest to the DEAR of the banks total bond position?
(Round your answer to 2 decimal places)
Answer:
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Foundations Of Financial Management
Authors: Stanley B. Block, Geoffrey A. Hirt, Bartley R. Danielsen
13th Edition
0073382388, 978-0073382388
