Question
You are trying to make the least-risky portfolio possible from this set of ETFs. Risk is being measured by Standard Deviation of returns (sigma). ETF
You are trying to make the least-risky portfolio possible from this set of ETFs. Risk is being measured by Standard Deviation of returns (sigma).
ETF mu sigma
A 10% 25%
B 8% 15%
Correlation Coefficient (rho), A to B: -50%
What is the standard deviation (sigma) for a portfolio comprised of 50% A and 50%B?
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Personal Finance Turning Money Into Wealth
Authors: Arthur J Keown
5th Edition
0136070620, 9780136070627
