Question
Stocks A, B & C have the same expected return and standard deviation. The correlations between the returns of these stocks are shown in the
Stocks A, B & C have the same expected return and standard deviation. The correlations between the returns of these stocks are shown in the table below.
|
| Stock A | Stock B | Stock C |
| Stock A | +1.0 |
|
|
| Stock B | +0.87 | +1.0 |
|
| Stock C | +0.16 | -0.42 | +1.0 |
Given these correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio:
a. Equally invested in stocks A & B
b. Equally invested in stocks A & C
c. Equally invested in stocks B & C
d. Totally invested in stock C
Explain your answer
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The Routledge Handbook Of Integrated Reporting
Authors: Charl De Villiers, Warren Maroun, Pei-Chi Hsiao
1st Edition
0367233851, 978-0367233853
