Question
There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return 11%, standard deviation 12%. You are not sure about
There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return 11%, standard deviation 12%. You are not sure about the correlation between 2 assets. You hold 30% of your portfolio in asset 1 and 70% in asset 2. What is the highest possible variance of your portfolio?
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Global Banking
Authors: Roy C Smith, Ingo Walter, Gayle DeLong
3rd Edition
0195335937, 9780195335934
