Question
Suppose Tex stock has a volatility of 44 % and Mex stock has a volatility of 20 %. If Tex and Mex are uncorrelated, a.
Suppose Tex stock has a volatility of 44 % and Mex stock has a volatility of 20 %. If Tex and Mex are uncorrelated,
a. Construct a portfolio with positive weights in both stocks and that has the same volatility as MEX alone.
The portfolio of the two stocks that has the same volatility as Mex alone consists of ?% of Tex stock and ?% of Mex stock. (Round to one decimal place.)
b. What portfolio of the two stocks has the smallest possible volatility?
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Real Estate Finance Theory And Practice
Authors: Terrence M. Clauretie, G. Stacy Sirmans
5th Edition
0324305508, 9780324305500
