Question
Consider a portfolio that is 60% (w S ) in the S&P 500 index and 40% (w B ) in the JPM bond index. Suppose
Consider a portfolio that is 60% (wS) in the S&P 500 index and 40% (wB) in the JPM bond index.
Suppose an analyst estimates that E[rS] = 15%, s = 20%, E[rB] = 10%, B =12%, and = 0%.
1) Calculate the portfolio's standard deviation given that the correlation is zero:
2) Calculate the weighted average of the standard deviations of the S&P 500 index and the JPM bond index:
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Intermediate Financial Management
Authors: Brigham, Daves
10th Edition
978-1439051764, 1111783659, 9780324594690, 1439051763, 9781111783655, 324594690, 978-1111021573
