Question
A portfolio has 40% of its value in ABC shares and the rest in XYZ stock. The standard deviation of ABC and XYZ are 35%
A portfolio has 40% of its value in ABC shares and the rest in XYZ stock. The standard deviation of ABC and XYZ are 35% and 30%, respectively, and the correlation between ABC and XYZ is 0.4. What is the standard deviation of the portfolio?
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Lets assume the total value of the portfolio is 1 or 100 Given that 40 of the portfolio ...
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
9th Edition
73530700, 978-0073530703
