Question
(a) Suppose you create an equally weighted portfolio (holding weights 1/2) of 2 independent stocks (Cov (i,j)=0). What is the portfolio variance? (b) Suppose you
(a) Suppose you create an equally weighted portfolio (holding weights 1/2) of 2 independent stocks (Cov (i,j)=0). What is the portfolio variance?
(b) Suppose you create an equally weighted portfolio (holding weights 1/3) of 3 independent stocks (Cov (i,j)=0 for all i and j). What is the portfolio variance?
(c) Suppose you create an equally weighted portfolio (holding weights 1/4) of 4 independent stocks (Cov (i,j)=0 for all i and j). What is the portfolio variance?
(d) Generalize your results.
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N Hyman
8th Edition
0324259700, 978-0324259704
