economic state stock A stock B depression -0.20 0.05 recession 0.10 0.20 normal 0.30 -0.12 boom 0.50 0.09 a) what is the correlation in the stocks´return?
economic state stock A stock B
depression -0.20 0.05
recession 0.10 0.20
normal 0.30 -0.12
boom 0.50 0.09
a) what is the correlation in the stocks´return?
b) find the weights that make up the global minimum variance portfolio (GMVP) and calculate the portfolio´s expected return and risk
Since you have not mentioned the specific question we will just answer the first question in case you want us to solve the specific question please mention the question no.
Correlation in the stock returns is a statistic measure the degree to which securities move in relation with each other.It is computed as correlation coefficient which has a value that must fall between -1.0 and +1.0
Formula for correlation coefficient r=
where r stands for the correlation coefficient.
X and Y are the returns of the stock A and B respectively.
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