Question
Stock A and B both have STD of 20%. You construct a portfolio of (only) these two stocks. Suppose that the weight of each stock
Stock A and B both have STD of 20%. You construct a portfolio of (only) these two stocks. Suppose that the weight of each stock in your portfolio is a number restricted between zero and one, i.e., 0 w 1. The two weights sum to 100%. Which of the following STD is NOT possible for your two-asset portfolio (consisting of A and B)?
- 2%
- 10%
- 18%
- 21%
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Analysis for Financial Management
Authors: Robert Higgins
11th edition
77861787, 978-0077861780
