Question
Assume the historical volatility of a stock on the S&P 500 is 50% and the correlation between the returns of stock is 30% A. What
Assume the historical volatility of a stock on the S&P 500 is 50% and the correlation between the returns of stock is 30%
A. What is the average variance of stocks on the S&P?
B. What is the average covariance of the stocks?
C. Consider a portfolio of S&P stocks. What is the estimated volatility of the portfolio when there 10 stocks in the portfolio? What about 20 stocks in the portfolio?
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Foundations Of Real Estate Financial Modelling
Authors: Roger Staiger
2nd Edition
1138046183, 978-1138046184
