Question
Security A has a standard deviation of 10%. Security B has a standard deviation of 20%. The correlation of returns is 0.7. a. What is
Security A has a standard deviation of 10%. Security B has a standard deviation of 20%. The correlation of returns is 0.7.
a. What is the covariance between the two securities (5 points)?
b. What is the standard deviation of a two-security portfolio invested 40% in security A and 60% in security B (5 points)?
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Principles Of Finance
Authors: Scott Besley, Eugene F. Brigham
2nd Edition
003034509X, 9780030345098
