Question
The investor is presented with the two following stocks and she chooses to invest 30% of her portfolio in stock A. Stock A Stock B
The investor is presented with the two following stocks and she chooses to invest 30% of her portfolio in stock A.
|
| Stock A | Stock B |
| Expected Return | 10% | 15% |
| Standard Deviation | 20% | 30% |
Which of the following statements is correct if the correlation between the stocks is -1?
- The expected return of the portfolio is 12%.
- The standard deviation of the portfolio is 15%.
- The standard deviation of the portfolio is 27%.
- None of the answers is correct.
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Auditing Cases An Active Learning Approach
Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt
2nd Edition
0130674842, 978-0130674845
