Question
A. use the following information to a sneer the question below: State Prob Returns(S1) Returns(S2) A .4 30% -5% B .6 -10% 25% Invest 70%
A. use the following information to a sneer the question below:
State Prob Returns(S1) Returns(S2)
A .4 30% -5%
B .6 -10% 25%
Invest 70% in Asset-A and 30% in Asset-B. The covariance between Asset-A and returns and Asset-B is -288.
- Calculate the standard deviation of returns for Asset-A And Asset-B.
- Calculate the correlation coefficient between Asset-A and Asset-B returns
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Handbook Of European Financial Markets And Institutions
Authors: Xavier Freixas, Philipp Hartmann, Colin Mayer
1st Edition
0199229953, 978-0199229956
