Question
Security A has a standard deviation of 30%. Security B has a standard deviation of 20%. The correlation of returns is 0.8. a. What is
Security A has a standard deviation of 30%. Security B has a standard deviation of 20%. The correlation of returns is 0.8.
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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Essentials Of Federal Taxation 2018
Authors: Brian Spilker, Benjamin Ayers, John Robinson, Edmund Outslay, Ronald Worsham, John Barrick, Connie Weaver
9th Edition
9781260007640
