Question
If the financial market consists of only 3 assets and we have the following information on the assets: Stock Weight in the market portfolio Standard
If the financial market consists of only 3 assets and we have the following information on the assets:
| Stock | Weight in the market portfolio | Standard deviation (%) |
| A | 50% | 20% |
| B | 25% | 15% |
| C | 25% | 5% |
In addition you are given pairwise correlations: AB = 0, AC = 0, BC = 0.5
What is the Standard deviation of the Market?
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
