Question
Assume a portfolio that consists of two assets, K and P. The volatility of these assets are 14.94% and 24.29%, respectively. Portfolio allocation is 75%
Assume a portfolio that consists of two assets, K and P. The volatility of these assets are 14.94% and 24.29%, respectively. Portfolio allocation is 75% in asset K and 25% in asset P. Find the correlation between assets K and asset P that would produce portfolio volatility at the level of 33%.
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
