Question
Using the data in the following table, and the fact that the correlation of A and B is 0.40, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.40, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B.
| Realized Returns | ||||
| Year | Stock A | Stock B | ||
| 2008 | 14% | 25% | ||
| 2009 | 20% | 27% | ||
| 2010 | 4% | 12% | ||
| 2011 | 4% | 6% | ||
| 2012 | 1% | 8% | ||
| 2013 | 14% | 35% | ||
What is the standard deviation of the portfolio? (Round to two decimal places.)
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Lords Of Finance The Bankers Who Broke The World
Authors: Liaquat Ahamed
1st Edition
0143116800, 978-0143116806
