Question
(a) For a portfolio with 1/2 weight in each of the two assets, what correlation between the assets would make the portfolio standard deviation 25%,
(a) For a portfolio with 1/2 weight in each of the two assets, what correlation between the
assets would make the portfolio standard deviation 25%, the same as each asset individually.
(b) For a portfolio with 1/2 weight in each of the two assets, what correlation between the
assets would make the portfolio standard deviation 12.5%, half of the standard deviation for
an individual asset?
(c) For a portfolio with 1/2 weight in each of the two assets, what correlation would result
in the lowest possible portfolio standard deviation? Given that correlation, what would be
the standard deviation of the portfolio's return?
Correlation:
Resulting standard deviation:
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Personal Financial Planning For Executives And Entrepreneurs
Authors: Michael J. Nathanson, Jeffrey T. Craig, Jennifer A. Geoghegan, Nadine Gordon Lee, Michael A. Haber, Seth P. Hieken, Matthew C. Ilteris, D. Scott McDonald, Joseph A. Salvati, Stephen R. Stelljes
1st Edition
3030405273, 978-3030405274
