Question
A portfolio is composed of two shares. The following parameters associated with the returns of the two shares are given. Share 1 2 Proportion of
A portfolio is composed of two shares. The following parameters associated with the returns of the two shares are given.
Share
1
2
Proportion of portfolio
45%
55%
Mean
0.10
0.20
Standard deviation
0.02
0.15
If the correlation coefficient of the two shares is 0.2, the variance of the return of the portfolio is:
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Advanced Financial Accounting
Authors: Richard Lewis, David Pendrill
7th Edition
0273658492, 978-0273658498
