Question
A two-asset portfolio is specified as follows: wA=0.4; rA= 5%; A=8% wB=0.6; rB =8%; B=10% a) what is this portfolios total risk if these two
A two-asset portfolio is specified as follows:
wA=0.4; rA= 5%; A=8%
wB=0.6; rB =8%; B=10%
a) what is this portfolios total risk if these two assets are uncorrelated (independent)?
b). what is this portfolios total risk if the correlation coefficient between these two assets is 0.7.
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Principles Of Sustainable Finance
Authors: Dirk Schoenmaker, Willem Schramade
1st Edition
0198826605, 978-0198826606
