Consider two stocks M and N with a standard deviation of 25% and 40% respectively. The returns of the two stocks are perfectly negatively correlated. Proportion of investment to be made in stock M for zero variance portfolio is____ a. 62% b. 38% c. 50% d. Cannot be determined
Consider two stocks M and N with a standard deviation of 25% and 40% respectively. The returns of the two stocks are perfectly negatively correlated. Proportion of investment to be made in stock M for zero variance portfolio is____ a. 62% b. 38% c. 50% d. Cannot be determined
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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Question
Consider two stocks M and N with a standard deviation of 25% and 40% respectively. The returns of the two stocks are perfectly negatively correlated. Proportion of investment to be made in stock M for zero variance portfolio is____
a.
62%
b.
38%
c.
50%
d.
Cannot be determined
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