Question
Every time the return of asset A is x%, the return of asset B is -0.5*x%. For instance, if A goes up by 1%, B
Every time the return of asset A is x%, the return of asset B is -0.5*x%. For instance, if A goes up by 1%, B goes down by 0.5%.
- What is the correlation between the returns of assets A and B?
- What is the lowest possible standard deviation that could be achieved by constructing a portfolio of A and B? How can you achieve it?
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Fundamentals Of Financial Management
Authors: James Van Horne, John Wachowicz
13th Revised Edition
978-0273713630, 273713639
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