Question
Using the data in the following table, and the fact that the correlation of A and B is 0.55, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.55, calculate the volatility (standard deviation) of a portfolio that is 50% invested in stock A and 50% invested in stock B.
| Stock A | Stock B | |
| 2005 | -0.04 | 0.17 |
| 2006 | 0.19 | 0.2 |
| 2007 | 0.02 | 0.11 |
| 2008 | -0.02 | -0.01 |
| 2009 | 0.04 | -0.06 |
| 2010 | 0.15 | 0.25 |
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
Hotel Finance
Authors: Anand Iyengar
1st Edition
0195694465, 978-0195694468
