Question
In: Finance
Your client has a two-asset portfolio with equal weighting and the following characteristics: Return Risk(σ) Asset...
- Your client has a two-asset portfolio with equal weighting and the following characteristics:
|
Return |
Risk(σ) |
|
|
Asset A |
5% |
20% |
|
Asset B |
10% |
30% |
If the correlation coefficient between assets A and B is 0.6, what is the standard deviation of the 2-assst portfolio?
Solutions
Expert Solution
Standard Deviation =
Standard Deviation = [ (20*0.50)2 + (30*0.50)2 + 2 * 0.50 * 0.50 * 0.6 * 20 * 30 ]1/2
= [ 100 + 225 + 180 ]1/2
= [ 505 ]1/2
= 22.47% Answer
jeff jeffy answered 2 years agoRelated Solutions
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