Question
Using the data in the following table, and the fact that the correlation of A and B is 0.39, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.39, calculate the volatility (standard deviation) of a portfolio that is 70% invested in stock A and 30% invested in stock B.
| Realized Returns |
| |||
| Year | Stock A | Stock B | ||
| 2008 | 8% | 27% | ||
| 2009 | 17% | 28% | ||
| 2010 | 1% | 11% | ||
| 2011 | 3% | 2% | ||
| 2012 | 1% | 3% | ||
| 2013 | 8% | 26% | ||
The standard deviation of the portfolio is _%?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Essentials Of Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
7th Edition
0073368717, 978-0073368719
