Question
You have the following information about the daily returns, standard deviations, and correlations between a US stock index, a US bond index, and an All-world
You have the following information about the daily returns, standard deviations, and correlations between a US stock index, a US bond index, and an All-world Ex-US stock index:
| US stock | US bond | World stock | |
| Expected return (%) | 0.043 | 0.031 | 0.060 |
| Std. Deviation (%) | 0.57 | 0.34 | 0.54 |
| Correlation matrix | |||
| US stock | US bond | World stock | |
| US stock | 1 | 0.32 | 0.53 |
| US bond | 1 | 0.34 | |
| World stock | 1 | ||
What is the standard deviation of returns on a portfolio composed of 50% US stock, 30% US bond, and 20% World stock indices?
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The Geography Of Finance
Authors: Gordon L. Clark, Darius Wójcik
1st Edition
0199213364, 978-0199213368
