Question
Suppose your portfolio consists of 100 stocks. Every pair of stocks has an average covariance of 400 whereas every stock has an average variance of
Suppose your portfolio consists of 100 stocks. Every pair of stocks has an average covariance of 400 whereas every stock has an average variance of 625. Assuming equal allocations in the 100 stocks, how much is the systematic components of the total risk, measured as variance?
Multiple Choice
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0.625
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396.625
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19.899
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396
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Financial Times Guide To The Financial Markets
Authors: Glen Arnold
1st Edition
0273730002, 978-0273730002
