Question
Stock X has an expected return of 40% and a variance of .08. Stock Y has an expected return of 60% and a variance of
Stock X has an expected return of 40% and a variance of .08. Stock Y has an expected return of 60% and a variance of .18. Stocks X and Y have a correlation coefficient of 1.
a) Calculate the expected return and variance of a portfolio consisting of $20,000 invested in stock X and $30,000 invested in stock Y.
b) You decide to eliminate all of your risk. How much must you invest in each stock?
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Of Synthetic Finance Three Essays Of Speculative Materialism
Authors: Benjamin Lozano
1st Edition
1138790842, 978-1138790841
