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What is the variance of a two stock portfolio where the weights, SD are given below and the correlation coefficient is 0.887? Stock Weights (decimal
What is the variance of a two stock portfolio where the weights, SD are given below and the correlation coefficient is 0.887?
| Stock | Weights | (decimal form) |
| A | 84% | 0.204 |
| B | 0.147 |
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Financial Risk Manager Handbook
Authors: Philippe Jorion
6th Edition
0470904011, 978-0470904015
