Question
Stock As return has a Beta of 1.3 and a correlation with the market return of 0.8. The standard deviation of the market return is
Stock As return has a Beta of 1.3 and a correlation with the market return of 0.8. The standard deviation of the market return is 0.135. Stock B has a standard deviation of its return equal to 0.16 and a correlation with the return of Stock A equal to 0.64. What is the standard deviation of a portfolio in which you invest 130% of your wealth in Stock A and short 30% of your wealth in Stock B.
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Money Talks Explaining How Money Really Works
Authors: Nina Bandelj ,Frederick F. Wherry ,Viviana A. Zelizer
1st Edition
0691202893, 978-0691202891
