Question
Suppose the expected returns and standard deviations of Stocks A and B are E( R A ) = .083, E( R B ) = .143,
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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .083, E(RB) = .143, A = .353, and B = .613. |
Calculate the standard deviation of a portfolio that is composed of 28 percent A and 72 percent B when the correlation between the returns on A and B is .43. and Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is .43.
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Sustainable Finance And Impact Investing
Authors: Alan S. Gutterman
1st Edition
1637423764, 978-1637423769
