Question
What is the standard deviation of this portfolio if the investor puts 60 % of the money in A and the remaining 40 % in
What is the standard deviation of this portfolio if the investor puts 60 % of the money in A and the remaining 40 % in B? Assume that the correlation coefficient between A and B is -0.5.
| Return | Standard deviation | Weight | |
| Asset A | 0.24 | 0.4 | 0.6 |
| Asset B | 0.14 | 0.2 | 0.4 |
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Mathematics Of Finance
Authors: Robert Brown, Steve Kopp, Petr Zima
8th Edition
0070876460, 978-0070876460
