Question
The standard deviation of stock A is .60, while the standard deviation of stock B is .80. If the correlation coefficient for A and B
The standard deviation of stock A is .60, while the standard deviation of stock B is .80. If the correlation coefficient for A and B is positive, then a portfolio that consists of 50% of stock A and 50% of stock B MUST have a standard deviation _________. Assume no short selling allowed.
a) Less than 0.5
b) Greater than 0.7
c) Greater than 0.5
d) Less than 0.6
e) Not enough information
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
978-0071338875
