Question
Share A and Share B are expected to have a 10% and 15% standard deviation of annual return, respectively, and a return correlation coefficient of
Share A and Share B are expected to have a 10% and 15% standard deviation of annual return, respectively, and a return correlation coefficient of -1. Calculate the standard deviation of the return in percentage terms for a portfolio P comprising these two risky assets if the portfolio asset weighting for Share B is 60%.
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Public Finance In Canada
Authors: Harvey S. Rosen, Wen, Snoddon
4th Canadian Edition
0070071837, 978-0070071834
