Question
A portfolio consisting of Stocks 1 and 2 has an expected return of 13%. What is the standard deviation of this portfolio given the information
A portfolio consisting of Stocks 1 and 2 has an expected return of 13%. What is the standard deviation of this portfolio given the information below?
| Stock 1 | Stock 2 | ||
| Expected Return | 10% | 14% | |
| Standard Deviation | 12% | 18% | |
| Correlation (1,2) | 0.65 | ||
b) A portfolio consisting of Stocks 3 and 4 has zero variance. What is the weight of Stock 3 in this portfolio given the information below?
| Stock 3 | Stock 4 | ||
| Standard Deviation | 10% | 15% | |
| Correlation (3,4) | -1 | ||
Can someone please help me with this question? parts a) and b) please .... thanks in advance..... please show all work and the equations used ....
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The Leverage Space Trading Model
Authors: Ralph Vince
1st Edition
0470455950, 978-0470455951
