Question
Stocks X and Y are currently priced at $20 and $30 and follow generalized Wiener processes (we will forgive the unrealistic model for now) with
Stocks X and Y are currently priced at $20 and $30 and follow generalized Wiener processes (we will forgive the unrealistic model for now) with drifts of $2 and $3 and standard deviations of $10 and $15 per year respectively. What is the standard deviation per year on a portfolio that holds one share of X and one share of Y if the changes in X and Y over any short interval of time have a correlation of .5?
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Auditing Cases An Active Learning Approach
Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt
2nd Edition
0130674842, 978-0130674845
