2-10 We have the following information on a portfolio consisting of Stocks A, B, and C: A B C Expectd annual return 25% 20% 15% Standard Deviation of Return 35% 30% 25% Price per share 100 85 75 # shares 100,000 150,000 200,000 correlation coefficient (A,B) 0.5 correlation coefficient (A,C) 0.2 correlation coefficient (B,C) .8 number of days per year 365 What is the portfolio weight of A,B, and C shares in the portfolio. Include formula, variables, values, and market values of A, B, and C.
2-10
We have the following information on a portfolio consisting of Stocks A, B, and C:
A B C
Expectd annual return 25% 20% 15%
Standard Deviation of Return 35% 30% 25%
Price per share 100 85 75
# shares 100,000 150,000 200,000
correlation coefficient (A,B) 0.5
correlation coefficient (A,C) 0.2
correlation coefficient (B,C) .8
number of days per year 365
What is the portfolio weight of A,B, and C shares in the portfolio. Include formula, variables, values, and market values of A, B, and C.
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