Question
Expected Return Standard Deviation Weight in Portfolio Stock A 6.00% 17.00% 31.00% Stock B 14.00% 15.00% 69.00% ----------------------- ----------------------- ----------------------- ----------------------- Correlation (A,B) 0.5300 IN
| Expected Return | Standard Deviation | Weight in Portfolio | |
| Stock A | 6.00% | 17.00% | 31.00% |
| Stock B | 14.00% | 15.00% | 69.00% |
| ----------------------- | ----------------------- | ----------------------- | ----------------------- |
| Correlation (A,B) | 0.5300 |
IN EXCEL
What is the variance of A?
What is the variance of B?
What is the Correlation (A,A)?
What is the Correlation (B,B)?
What is the Covariance (A,A)?
What is the Covariance (A,B)?
What is the Covariance (B,A)?
What is the Covariance (B,B)?
What is the expected return on the portfolio above?
What is the variance on the portfolio above?
What is the standard deviation on the portfolio above?
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Capital Markets Institutions And Instruments
Authors: Frank J. Fabozzi, Franco Modigliani
4th Edition
0136026028, 9780136026020
