Question
Ebenezer Scrooge has invested 60% of his money in share A and the remainder in share B. He assesses their prospects as follows: A B
Ebenezer Scrooge has invested 60% of his money in share A and the remainder in share B. He assesses their prospects as follows:
|
| A | B |
| Expected Return | 15 | 20 |
| Standard Deviation | 20 | 22 |
| Correlation between Returns | 0.5 | |
What are the expected return and standard deviation of returns on his portfolio?
How would you answer change if the correlation coefficient were 0 or -0.5?
Is Mr. Scrooges portfolio better or worse that one invested entirely in share A, or is it not possible to say?
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Financial Performance
Authors: Marc Bertoneche, Rory Knight
1st Edition
0750640111, 978-0750640114
