Question
The covariance between stock X and stock Y is .75. Which of the following must always be true? No diversification benefits would occur by creating
The covariance between stock X and stock Y is .75. Which of the following must always be true?
| No diversification benefits would occur by creating a portfolio consisting only of these two stocks. | ||
| The correlation coefficient between these two stocks cannot equal negative one. | ||
| Stocks X and Y tend to move in opposite directions over time. | ||
| None of the above. |
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The Volatility Surface A Practitioner's Guide
Authors: Jim Gatheral
1st Edition
0471792519, 978-0471792512
