Amarket consists of three stocks whose expected returns are rı, r2, r3 respectively. The risks of the stocks are o1, 02, 03 respectively. The correlation of the returns of Stock 1 with the returns of Stock 2 and Stock 3 are p12 and P.3 respectively The returns of Stock 2 and Stock 3 are independent. Let P be a portfolio of the three stocks with weights (w, W2, W3) respectively. Let op denote the risk of such a portfolio Given the information above, write down the expression for of/2
Amarket consists of three stocks whose expected returns are rı, r2, r3 respectively. The risks of the stocks are o1, 02, 03 respectively. The correlation of the returns of Stock 1 with the returns of Stock 2 and Stock 3 are p12 and P.3 respectively The returns of Stock 2 and Stock 3 are independent. Let P be a portfolio of the three stocks with weights (w, W2, W3) respectively. Let op denote the risk of such a portfolio Given the information above, write down the expression for of/2
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
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Transcribed Image Text:Amarket consists of three stocks whose expected returns are rı, r2, r3 respectively.
The risks of the stocks are o1, 02, 03 respectively.
The correlation of the returns of Stock 1 with the returns of Stock 2 and Stock 3 are p12 and
P.3 respectively
The returns of Stock 2 and Stock 3 are
independent.
Let P be a portfolio of the three stocks with weights (w, W2, W3) respectively.
Let op denote the risk of such a portfolio
Given the information above, write down the expression for of/2
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