Question
The volatilities of stocks A and B are equal to A and B respectively. Assume that the returns of these two stocks are perfectly negatively
The volatilities of stocks A and B are equal to A and B respectively. Assume that the returns of these two stocks are perfectly negatively correlated. What should be the composition of the zero-risk portfolio, consisting of these two stocks?
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Principles Of Finance With Excel
Authors: Simon Benninga, Tal Mofkadi
3rd Edition
0190296380, 9780190296384
