Question
Using the data in the following table, and the fact that the correlation of A and B is 0.54, calculate the volatility (standard deviation) of
Using the data in the following table, and the fact that the correlation of A and B is 0.54, calculate the volatility (standard deviation) of a portfolio that is 80% invested in stock A and 20% invested in stock B.
| Realized Returns | ||||
| Year | Stock A | Stock B | ||
| 2008 | 5% | 29% | ||
| 2009 | 15% | 39% | ||
| 2010 | 1% | 1% | ||
| 2011 | 7% | 5% | ||
| 2012 | 2% | 7% | ||
| 2013 | 11% | 18% | ||
The standard deviation of the portfolio is __%. (Round to two decimal places.)
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New Issues In Financial Institutions Management
Authors: F Fiordelisi, P Molyneux, D Previati
2010th Edition
0230278108, 978-0230278103
