Question
A portfolio consists of two stocks (A and B) and has a volatility of 2.5%. Asset A has an expected return of 17%, a volatility
A portfolio consists of two stocks (A and B) and has a volatility of 2.5%. Asset A has an expected return of 17%, a volatility of 20%, and accounts for of your portfolio. Asset B has an expected return of 22% and a volatility of 25%. What is the correlation of the two stocks returns?
| 0.36 | ||
| -0.75 | ||
| 0.99 | ||
| -0.29 |
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Foundations Of Real Estate Financial Modelling
Authors: Roger Staiger
2nd Edition
1138046183, 978-1138046184
