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You are given the following information: stock A stock B Market variance 12.40% 15.91% 7% return 39.05% 24.26% 4.24% beta 1.15 0.30 tracking error 6%
You are given the following information:
| stock A | stock B | Market | |
| variance | 12.40% | 15.91% | 7% |
| return | 39.05% | 24.26% | 4.24% |
| beta | 1.15 | 0.30 | |
| tracking error | 6% | 3% |
The risk-free rate is 1.2%. The correlation between A and B is -0.39. Suppose you invest 0.59 in A and 1-0.59 in B, compute the alpha of the resulting portfolio.
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Financial Management Principles And Practices
Authors: Sudhindra Bhat
2nd Edition
8174465863, 978-8174465863
