Question
The following table shows the covariance of A and B stocks: A B A 0.25 0.06 B 0.06 0.09 Assuming that the stock A in
The following table shows the covariance of A and B stocks:
|
| A | B |
| A | 0.25 | 0.06 |
| B | 0.06 | 0.09 |
Assuming that the stock A in the portfolio is 30,000 yuan and the stock B is 70,000 yuan, what is the standard deviation of this portfolio?
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Derivative Products And Pricing The Das Swaps And Financial Derivatives Library
Authors: Satyajit Das
1st Edition
0470821647, 9780470821640
