Question
Jack, an investor is pondering two portfolios, the S&P 500 and a hedge fund. The S&P 500 is estimated to have a standard deviation of
Jack, an investor is pondering two portfolios, the S&P 500 and a hedge fund. The S&P 500 is estimated to have a standard deviation of 20%. The hedge fund has a standard deviation of 40%. The correlation coefficient between S&P 500 and hedge fund is 0.5. What is the covariance between the S&P 500 and the hedge fund?
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Corporate Finance
Authors: Jonathan Berk and Peter DeMarzo
3rd edition
978-0132992473, 132992477, 978-0133097894
