Using the data in the following table, and the fact that the correlation of A and B is 0.56, calculate the volatility (standard deviation) of a portfolio that is 60% invested in share A and 40% invested in share B. Click on the icon located on the top-right corner of the data table below to copy its contents into a spreadsheet. Realised Returns Year Share A Share B 2007 -4% 20% 2008 9% 30% 2009 5% 11% 2010 -4% -3% 2011 4% -7% 2012 13% 30% The standard deviation of the portfolio is %. (Round to two decimal places.)
Using the data in the following table, and the fact that the correlation of A and B is 0.56, calculate the volatility (standard deviation) of a portfolio that is 60% invested in share A and 40% invested in share B. Click on the icon located on the top-right corner of the data table below to copy its contents into a spreadsheet. Realised Returns Year Share A Share B 2007 -4% 20% 2008 9% 30% 2009 5% 11% 2010 -4% -3% 2011 4% -7% 2012 13% 30% The standard deviation of the portfolio is %. (Round to two decimal places.)
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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