A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 27%, while stock B has a standard deviation of return of 21%. Stock A comprises 70% of the portfolio, while stock B comprises 30% of the portfolio. If the variance of return on the portfolio is 0.046, the correlation coefficient between the returns on A and B is O 0.265 0.185 O 0.079 O 0.056
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 27%, while stock B has a standard deviation of return of 21%. Stock A comprises 70% of the portfolio, while stock B comprises 30% of the portfolio. If the variance of return on the portfolio is 0.046, the correlation coefficient between the returns on A and B is O 0.265 0.185 O 0.079 O 0.056
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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Transcribed Image Text:A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 27%, while stock B has a standard
deviation of return of 21%. Stock A comprises 70% of the portfolio, while stock B comprises 30% of the portfolio. If the variance of
return on the portfolio is 0.046, the correlation coefficient between the returns on A and B is
O 0.265
0.185
O 0.079
O 0.056
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