Question
Stocks A and B have the following returns: Stock A Stock B 1 0.11 0.07 2 0.06 0.03 3 0.15 0.05 4 0.02 0.03 5
Stocks A and B have the following returns:
| Stock A | Stock B | |
| 1 | 0.11 | 0.07 |
| 2 | 0.06 | 0.03 |
| 3 | 0.15 | 0.05 |
| 4 | 0.02 | 0.03 |
| 5 | 0.07 | 0.05 |
b. What are the standard deviations of the returns of the two stocks?
c. If their correlation is 0.42, what is the expected return and standard deviation of a portfolio of 56% stock A and 44% stock B?
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Risk Management And Financial Institutions
Authors: John Hull
1st Edition
0132397900, 9780132397902
