Using the data in the following table,, and the fact that the correlation of A and B is 0.81, calculate the volatility (standard deviation) of a portfolio that is 65% invested in stock A and 35% invested in stock B.
Using the data in the following table,, and the fact that the correlation of A and B is 0.81, calculate the volatility (standard deviation) of a portfolio that is 65% invested in stock A and 35% invested in stock B.
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
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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 0.81, calculate the volatility (standard deviation) of a portfolio that is 65% invested in stock A and 35% invested in
stock B.
The return of stock A is 4.33 %. (Round to two decimal places.)
The return of stock B is 12.50 %. (Round to two decimal places.)
The variance of stock A is 0.00632. (Round to five decimal places.)
The variance of stock B is 0.02743. (Round to five decimal places.)
The standard deviation of stock A is
The standard deviation of stock B is
8.71 %. (Round to two decimal places.)
18.14%. (Round to two decimal places.)
The variance of the portfolio of 65% stock A and 35% stock B is 0.02388. (Round to f
The standard deviation of the portfolio of 65% stock A and 35% stock B is %. (Rour
Data table
(Click on the following icon in order to copy its contents into a spreadsheet.)
Year
2017
2018
2019
2020
2021
2022
Realized Returns
Stock A
- 2%
16%
8%
- 8%
2%
10%
Print
Done
Stock B
13%
38%
13%
- 5%
- 10%
26%
-
X
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