Question
To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is 1. Use
To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is 1. Use the following information.
| State of the economy | Probability of occurrence | Expected return on stock A in this state | Expected return on stock B in this state | |||
|---|---|---|---|---|---|---|
| High growth | 30% | 45.5% | 60.5% | |||
| Moderate growth | 25% | 25.5% | 30.5% | |||
| Recession | 45% | - 15.5% | - 25.5% |
| Weight of stock A in percentage %: | ??????????? | |
|---|---|---|
| Weight of stock B in percentage %: | ??????????? |
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The FinTech Book The Financial Technology Handbook For Investors Entrepreneurs And Visionaries
Authors: Susanne Chishti, Janos Barberis
1st Edition
111921887X, 9781119218876
