Question
The below table shows the details of a portfolio of two assets A and B. Portfolio Details Asset Expected return Standard deviation Beta Covariance (A,
The below table shows the details of a portfolio of two assets A and B.
| Portfolio Details | |||||
| Asset | Expected return | Standard deviation | Beta | Covariance (A, B) | Expected Portfolio Return |
| A | 0.05 | 0.4 | 1.3 | 0.16 | 0.08 |
| B | 0.09 | 0.7 | 1.6 | ||
Which one of the following statements is NOT correct?
a.
The portfolio has some diversification.
b.
The standard deviation of the portfolio is 0.588.
c.
The correlation of asset A and Bs returns is 0.571.
d.
The portfolio beta is 2.725.
e.
The portfolio weight in asset A is 25%.
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Public School Finance Decoded
Authors: Jay C. Toland
1st Edition
1475827679, 978-1475827675
