Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You are considering to use natural gas commodity to diversify your stock portfolio. You find that the long run variance of your portfolio and natural

You are considering to use natural gas commodity to diversify your stock portfolio. You find that the long run variance of your portfolio and natural gas is 12%,45%(annualized), and the long-run corresponding covariance is -18%. If todays return of your portfolio and natural gas is 0.3% and 0.7%, please find the correlation between your portfolio and natural gas by using the RiskMetrics model.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Global Corporate Finance A Focused Approach

Authors: Kenneth A. Kim

1st Edition

9814335827, 9789814335829

More Books

Students also viewed these Finance questions

Question

In what phase is the database created?

Answered: 1 week ago

Question

List the common methods used in selecting human resources. page 254

Answered: 1 week ago