Question
You invest 60 percent of your funds in stock A and the balance in stock B. The standard deviation of returns on A is 10
You invest 60 percent of your funds in stock A and the balance in stock B. The standard deviation of returns on A is 10 percent, and on B, it is 20 percent. Calculate the variance of portfolio returns, assuming:
(a) The correlation between the returns is 1.0.
(b) The correlation is 0.5.
(c) The correlation is 0.0
Round your answer to four decimal points.
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The Handbook Of Energy Trading
Authors: Stefano Fiorenzani, Samuele Ravelli, Enrico Edoli
1st Edition
1119953693, 978-1119953692
