Question
Q2 A portfolio consists of two stocks, the expected returns and standard deviations of returns of each assest are listed in the table below: Stock
Q2
A portfolio consists of two stocks, the expected returns and standard deviations of returns of each assest are listed in the table below:
| Stock A | Stock B | |
| Expected return
| 8% | 10% |
| Standard deviation
| 16% | 20% |
Calculate:
(a) The correlation coefficient for the two-asset portfolio, assuming that the covariance is 0.0032.
(b) The standard deviation of the portfolio made of stock A and B, assuming 30% is invested in stock A
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Risk Adjusted Performance And Bank Governance Structures
Authors: Christoph Böhm
1st Edition
3631639163, 3653027306, 9783631639160, 9783653027303
