Two securities have the following characteristics: Security A Security B Expected return 32% 17% Standard deviation 28% 34% Proportion (Weight) 55% 45% Beta 1.2 0.25 Correlation Coefficient 0.85 Determine the risk (standard deviation) of the portfolio with Securities A and B.
Two securities have the following characteristics: Security A Security B Expected return 32% 17% Standard deviation 28% 34% Proportion (Weight) 55% 45% Beta 1.2 0.25 Correlation Coefficient 0.85 Determine the risk (standard deviation) of the portfolio with Securities A and B.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 21P
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Two securities have the following characteristics:
Security A | Security B | |
Expected return | 32% | 17% |
Standard deviation | 28% | 34% |
Proportion (Weight) | 55% | 45% |
Beta | 1.2 | 0.25 |
Correlation Coefficient | 0.85 |
Determine the risk (standard deviation) of the portfolio with Securities A and B.
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