What is the total variance of the following portfolio including 2 assets invested in the ratio of 3:1. Asset A: E(r) = 0.3 , s = 0.6 Asset B: E(r) = 0.4, s = 0.8 Correlation: 0.8 rf = 0.1 A) 1.14 B) 0.88 C) 0.38 D) 1.44
What is the total variance of the following portfolio including 2 assets invested in the ratio of 3:1. Asset A: E(r) = 0.3 , s = 0.6 Asset B: E(r) = 0.4, s = 0.8 Correlation: 0.8 rf = 0.1 A) 1.14 B) 0.88 C) 0.38 D) 1.44
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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What is the total variance of the following portfolio including 2 assets invested in the ratio of 3:1. Asset A: E(r) = 0.3 , s = 0.6 Asset B: E(r) = 0.4, s = 0.8 Correlation: 0.8 rf = 0.1 A) 1.14 B) 0.88 C) 0.38 D) 1.44
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