Question
Consider a $1 million portfolio consisting of $700,000 invested in IBM Inc. shares and $300,000 invested in Apple Inc. shares. IBM shares have a per-annum
Consider a $1 million portfolio consisting of $700,000 invested in IBM Inc. shares and $300,000 invested in Apple Inc. shares. IBM shares have a per-annum return standard deviation of 20% whereas Apple Inc. shares have a per-annum return standard deviation of 15%; the correlation between the two returns is .35. What is the per-annum standard deviation of the portfolios return?
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Options Futures And Other Derivatives
Authors: John C. Hull
7th Edition
0136015867, 9780136015864
