Question
Assume we own two stocks, assets A and B. We have invested 10,000 in asset A and 6,000 in asset B. The return on asset
Assume we own two stocks, assets A and B. We have invested 10,000 in asset A and 6,000 in asset B. The return on asset A is 25% whilst that of B is 15%. The standard deviation of asset A is 12% and that of B is 8%. What is the expected return on the portfolio? (5 Marks) If the correlation between the two assets is 0.8. Calculate the risk of the portfolio.
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Introduction To Machine Learning In Quantitative Finance An Advanced Textbooks In Mathematics
Authors: Hao Ni, Xin Dong, Jinsong Zheng, Guangxi Yu
1st Edition
1786349361, 9781786349361
