Question
Stock A has a standard deviation of 20% and a beta of 0.8. Stock B has a standard deviation of 12% and a beta of
Stock A has a standard deviation of 20% and a beta of 0.8. Stock B has a standard deviation of 12% and a beta of 1.6. The correlation of returns between stocks A and B is 0.7. Your portfolio is invested 40% in stock A and 60% in stock B. What is the portfolio beta?
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Options Futures And Other Derivatives
Authors: John C. Hull
9th Edition
0133456315, 9780133456318
