Question
Using the data in the following table, and the fact that the correlation of A and B is 0.57, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.57, calculate the volatility (standard deviation) of a portfolio that is 80% invested in stock A and 20% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.)
| Realized Returns | ||||
| Year | Stock A | Stock B | ||
| 2008 | 8% | 14% | ||
| 2009 | 16% | 32% | ||
| 2010 | 1% | 13% | ||
| 2011 | 4% | 5% | ||
| 2012 | 3% | 12% | ||
| 2013 | 7% | 28% | ||
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Financial Management Principles And Practice
Authors: Timothy Gallagher
6th Edition
1930789157, 978-1930789159
