Question
A portfolio contains three assets A, B and C with $2m in A, $5m in B and $3m in C. Given the volatilities A=30%,B=20%,C=10%, and
A portfolio contains three assets A, B and C with $2m in A, $5m in B and $3m in C. Given the volatilities A=30%,B=20%,C=10%, and the covariances AB=BC=AC=0 which of the following is the portfolio volatility?
a) 12%
b) 6.2%
c) 1.45%
d) 19%
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Contemporary Financial Management
Authors: R. Charles Moyer, James R. McGuigan, William J. Kretlow
11th Edition
0324653506, 978-0324653502
