Question
A portfolio invests in 27% in a stock S1 and the rest in another stock S2. The expected return and standard deviation of S1 are
A portfolio invests in 27% in a stock S1 and the rest in another stock S2. The expected return and standard deviation of S1 are 23% and 35%, respectively. The expected return and standard deviation of S2 are 8% and 14%, respectively. The covariance between the two stocks is 0.0008. What is the percentage (%) standard deviation of the portfolio?
Step by Step Solution
3.48 Rating (151 Votes )
There are 3 Steps involved in it
Step: 1
To calculate the percentage standard deviation of the portfolio we first need to calculate the expec...
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
