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Expected return Standard deviation of return Covariance of stocks return with the return on the market portfolio Stock A 15% 15% 0.0288 Stock B 20%
| Expected return | Standard deviation of return | Covariance of stocks return with the return on the market portfolio | |
| Stock A | 15% | 15% | 0.0288 |
| Stock B | 20% | 25% | 0.0432 |
| Correlation coefficient between returns of Stock A and Stock B | 0.5 |
| Expected return of the market portfolio | 10% |
| Standard deviation of the market portfolio | 12% |
| Risk-free rate | 5% |
Suppose you construct a portfolio with Stock A and Stock B. You invest 30% of your money in Stock A, and the rest 70% in Stock B. What is the standard deviation of your portfolio?
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Financial Reporting Financial Statement Analysis And Valuation A Strategic Perspective
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
9th Edition
1711
