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 stock A and 40% invested in stock B Realized Returns Year Stock A 2008 -6% 2009 12% 2010 7% 2011 -2% 2012 2% 2013 5% Stock B Question content area bottom 12% 35% 10% -2% -12% 33% Part 1 The standard deviation of the portfolio is %.
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 stock A and 40% invested in stock B Realized Returns Year Stock A 2008 -6% 2009 12% 2010 7% 2011 -2% 2012 2% 2013 5% Stock B Question content area bottom 12% 35% 10% -2% -12% 33% Part 1 The standard deviation of the portfolio is %.
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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Transcribed Image Text: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 stock A and 40% invested in stock B.
Realized Returns
Year Stock A
2008 -6%
2009 12%
2010 7%
2011 -2%
2012 2%
2013 5%
Stock B
Question content area bottom
12%
35%
10%
-2%
-12%
33%
Part 1
The standard deviation of the portfolio is
%.
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