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Please help find the correlation between Portfolio A and B. I have the following information: Stock A: expected return: 3%, standard deviation: 5% Stock B:
Please help find the correlation between Portfolio A and B.
I have the following information:
Stock A: expected return: 3%, standard deviation: 5%
Stock B: expected return: 5%, standard deviation: 6.71%
Portfolio:
Proportion of A: 24%
Portfolio Expected Return: 4.520%
I also have the following chart and graph.
5.238% o 0.1 Proportion of A 0.3 0.4 0.5 0.57295 0.7 0.8 0.9 Sigma for Correlation(A,B) 1 0 -1 6.71% 6.71% 6.71% 6.54% 6.06% 5.54% 6.37% 5.46% 4.37% 6.20% 4.93% 3.20% 6.02% 4.49% 2.02% 5.85% 4.18% 0.85% 5.73% 4.05% 0.00% 5.51% 4.04% 1.49% 5.34% 4.22% 2.66% 5.17% 4.55% 3.83% 5.00% 5.00% 5.00% Expected return 5.00% 4.80% 4.60% 4.40% 4.20% 4.00% 3.85% 3.60% 3.40% 3.20% 3.00% corr = +1 corr = 0 corr .1 0% + 0% 1% 2% 3% 4% 5% 6% 7% 8% 5.238% o 0.1 Proportion of A 0.3 0.4 0.5 0.57295 0.7 0.8 0.9 Sigma for Correlation(A,B) 1 0 -1 6.71% 6.71% 6.71% 6.54% 6.06% 5.54% 6.37% 5.46% 4.37% 6.20% 4.93% 3.20% 6.02% 4.49% 2.02% 5.85% 4.18% 0.85% 5.73% 4.05% 0.00% 5.51% 4.04% 1.49% 5.34% 4.22% 2.66% 5.17% 4.55% 3.83% 5.00% 5.00% 5.00% Expected return 5.00% 4.80% 4.60% 4.40% 4.20% 4.00% 3.85% 3.60% 3.40% 3.20% 3.00% corr = +1 corr = 0 corr .1 0% + 0% 1% 2% 3% 4% 5% 6% 7% 8%Step by Step Solution
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