Question
You are creating a two stock portfolio and you've got the following information: Stock A Stock B Stock C Market Beta 1.2 0.6
You are creating a two stock portfolio and you've got the following information:
| Stock A | Stock B | Stock C | Market | |
| Beta | 1.2 | 0.6 | 0.9 | |
| SD | 23% | 17% | 21% | 24% |
| Portfolio Weight | 25% | 45% | 30% |
Based on the Single Index Model, what is the standard deviation of this portfolio?
(express your answer as a percentage to 2 decimals, omit the % sign)
Step by Step Solution
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Step: 1
To calculate the standard deviation of the portfolio using the Single Index Model we use the followi...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
