Question
Arbor Systems and Gencore stocks both have a volatility of 46 % . Compute the volatility of a portfolio with 50 % invested in each
Arbor Systems and Gencore stocks both have a volatility of 46 %. Compute the volatility of a portfolio with 50 % invested in each stock if the correlation between the stocks is (a) plus 1.00
(b) 0.50
(c) 0.00
(d) -0.50
(e) -1.00
In which of the cases is the volatility lower than that of the originalstocks?
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Foundations Of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
11th Canadian Edition
1259024970, 978-1259265921
