Question
Suppose the expected returns and standard deviations of Stocks A and B are E( R A ) = .093, E( R B ) = .153,
| Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .093, E(RB) = .153, A = .363, and B = .623.
Calculate the expected return of a portfolio that is composed of 38 percent Stock A and 62 percent Stock B when the correlation between the returns on A and B is .53.
expected return?
Calculate the standard deviation of a portfolio that is composed of 38 percent Stock A and 62 percent Stock B when the correlation between the returns on A and B is .53.
Standard Deviation?
Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on Stocks A and B is .53.
Standard Deviation? |
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Return Distributions In Finance
Authors: Stephen Satchell, John Knight
1st Edition
0750647515, 978-0750647519
