Question
Lets say that there are only two risky assets: the equity fund and the bond fund. Well use the SPY for equity, and VCIT for
Lets say that there are only two risky assets: the equity fund and the bond fund. Well use the SPY for equity, and VCIT for the bond fund.
Q2.2: Lets assume that past returns data is a reasonable approximation for each funds expected returns, variance, and the covariance with the other fund. Using returns data from October 2011 to September 2021, what is the estimated covariance and the estimated correlation between the funds?
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Investments
Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey
6th Edition
8120321014, 978-8120321014
