Question
Suppose that we construct a portfolio using the following two risky assets. If the standard deviation of the portfolio is 0.157 (15.7%), what is the
Suppose that we construct a portfolio using the following two risky assets. If the standard deviation of the portfolio is 0.157 (15.7%), what is the correlation coefficient between the two assets?
| Bond | Stock | |
| Weights | 30% | 70% |
| Expected return () | 10% | 15% |
| Standard deviation () | 16% | 24% |
| Risk-free rate (RF) | 4% | |
| 0.102 | ||
| -0.365 | ||
| -0.583 | ||
| -0.729 |
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The Essentials Of Machine Learning In Finance And Accounting
Authors: Mohammad Zoynul Abedin, M. Kabir Hassan, Petr Hajek, Mohammed Mohi Uddin
1st Edition
0367480816, 978-0367480813
