1
answer
0
watching
165
views
28 Nov 2020
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 24% while stock B has a standard deviation return of 18%. Stock A compromises 60% of the portfolio while stock B compromises 40% of the portfolio. if the variance of return on the portfolio is 0.0380, the correlation coefficient between the return on A and B is?
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 24% while stock B has a standard deviation return of 18%. Stock A compromises 60% of the portfolio while stock B compromises 40% of the portfolio. if the variance of return on the portfolio is 0.0380, the correlation coefficient between the return on A and B is?
Joshua StredderLv10
17 Jan 2021
Related questions
- Consider two stocks, A and B.
|
|
Expected return (%) |
Standard deviation (%) |
|
Stock A |
24 |
28 |
|
Stock B |
19 |
23 |
The returns on the two stocks have a positive correlation of 0.6. You are required to calculate the portfolio return and risk.
Suppose that the investor wants to reduce the portfolio risk to 15%. How much should the correlation coefficient be to bring the portfolio risk to the desired level?
