The following information are available: [3] Stock A Stock B Expected Return 16% 12% Standard Deviation 5% 8% Coefficient of Correlation 0.60 What is the co-variance between stock A & B? What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?
The following information are available: [3] Stock A Stock B Expected Return 16% 12% Standard Deviation 5% 8% Coefficient of Correlation 0.60 What is the co-variance between stock A & B? What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio
Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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Question
The following information are available: [3]
|
Stock A |
Stock B |
Expected Return |
16% |
12% |
Standard Deviation |
5% |
8% |
Coefficient of Correlation |
0.60 |
- What is the co-variance between stock A & B?
- What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?
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