Question
Using the data in the following table, and the fact that the correlation of A and B is 0.50, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.50, calculate the volatility (standard deviation) of a portfolio that is 50% invested in share A and 50% invested in share B.
What is the standard deviation of the portfolio in percentage?
| Stock A | Stock B | |
| 2005 | -2 | 26 |
| 2006 | 15 | 31 |
| 2007 | 8 | 5 |
| 2008 | -6 | -10 |
| 2009 | 4 | -14 |
| 2010 | 8 | 35 |
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Economic Forecasting For Management Possibilities And Limitations
Authors: Hans G. Graf
1st Edition
9780313017414
