Question
A portfolio contains 58% of asset A and the balance in asset B. If the sample standard deviations for assets A and B were 24%
A portfolio contains 58% of asset A and the balance in asset B. If the sample standard deviations for assets A and B were 24% and 15%, respectively, what was portfolio standard deviation? Assume the correlation coefficient between assets A and B is 0.89. (Provide your solution as a decimal with four digits of accuracy.)
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Introduction To Finance
Authors: Lawrence J Gitman, Jeff Madura
1st Edition
0201635372, 9780201635379
