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An investor is trying to create a MINVAR (minimum variance) portfolio based on two stocks, X and Y. The annual return on stock X
An investor is trying to create a MINVAR (minimum variance) portfolio based on two stocks, X and Y. The annual return on stock X is 9.00%, and on stock Y is -5.00%. The standard deviation of annual return on stock X is 14.00%, and on stock Y is 10.00%. The correlation coefficient between the returns on X and Y is -0.70. How much is the annual standard deviation of the MINVAR portfolio? Enter your answer in the following format: 0.1234 Hint: The answer is between 0.0410 and 0.0564
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Principles Of Managerial Finance
Authors: Lawrence J. Gitman, Chad J. Zutter
13th Edition
9780132738729, 136119468, 132738724, 978-0136119463
