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The returns on stocks A and B are perfectly negatively correlated (P AB = -1 ). Stock A has an expected return of 21 %
- The returns on stocks A and B are perfectly negatively correlated (PAB = -1). Stock A has an expected return of 21 % and a standard deviation of return of 40%. Stock B has a standard deviation of return of 20%. The risk-free rate of interest is 11 %. What must be the expected return to stock B?
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
