Question
Assume that two securities, A and B, constitute the market portfolio (i.e. the market portfolio contains only these two stocks). The market portfolio's weight on
Assume that two securities, A and B, constitute the market portfolio (i.e. the market portfolio contains only these two stocks). The market portfolio's weight on stock A is 39% and its weight on stock B is 61%. The variance of stock A is 0.016, and variance of stock B is 0.034, and the covariance between stock A and B is 0.019.
- Compute the betas of stock A and B.
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
