Question
Stock As expected return and standard deviation are E[rA] = 8% and A= 15%, while stock Bs expected return and standard deviation are E[rB] =
Stock As expected return and standard deviation are E[rA] = 8% and A= 15%, while stock Bs expected return and standard deviation are E[rB] = 12% and B= 21%.
b. Assume now that pAB=-1.0 and find the portfolio p of stocks A and B that has no risk (i.e. such that p=0). Can you do the same when pAB=1.0? If not, why? If so, find that portfolio.
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The Oxford Handbook Of The Sociology Of Finance
Authors: Karin Knorr Cetina, Alex Preda
1st Edition
0198708777, 978-0198708773
