Question
PORTFOLIO AA has TEN securities which are equally weighted in the portfolio. The average variance of the securities returns is 10 and the average covariance
PORTFOLIO AA has TEN securities which are equally weighted in the portfolio. The average variance of the securities returns is 10 and the average covariance of the securities returns is 5.
PORTFOLIO BB has TEN securities which are equally weighted in the portfolio. The average variance of the securities returns is 5 and the average covariance of the securities returns is 10.
Which portfolio has the lower variance?
- PORTFOLIO AA
- PORTFOLIO BB
- The have the same variance
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Exploiting Myths
Authors: Michael Dever
1st Edition
0983504040, 978-0983504047
