Question
Q 12 You can form a portfolio of two assets, A and B, whose returns have the following characteristics: If you demand an expected return
Q 12
You can form a portfolio of two assets, A and B, whose returns have the following characteristics:
If you demand an expected return of 19%, what is the portfolio's standard deviation?
| Stock | Expected return | Standard deviation | Correlation |
| A | 12% | 20.00 |
|
|
|
|
| 0.75 |
| B | 22% | 35.00 |
|
| 29.27% | ||
| 26.51% | ||
| 22.95% | ||
| 8.57% | ||
| 27.32% |
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Competing On Analytics The New Science Of Winning
Authors: Thomas H Davenport, Jeanne G Harris, Gary Loveman
1st Edition
1422103323, 9781422103326
