Question
Two securities have the following characteristics: Security A Security B Expected return 25% 15% Standard deviation 35% 47% Proportion 35% 65% Beta 0.90 0.25 Furthermore,
Two securities have the following characteristics:
Security A Security B
Expected return 25% 15%
Standard deviation 35% 47%
Proportion 35% 65%
Beta 0.90 0.25
Furthermore, the correlation of returns between the securities is 0.7.
Determine the risk (standard deviation) of the portfolio consisting of equal proportions of Securities A and B.
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Technical Analysis Of Stock Trends
Authors: Robert D. Edwards, John Magee
1st Edition
1607962233, 978-1607962236
