Fred holds a portfolio with a 21% volatility. He decides to short sell a small amount of
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Fred holds a portfolio with a 21% volatility. He decides to short sell a small amount of stock with a 48% volatility and use the proceeds to invest more in his portfolio. If this transaction reduces the risk of his portfolio, what is the minimum possible correlation between the stock he shorted and his original portfolio?
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Related Book For
Corporate Finance The Core
ISBN: 9781292158334
4th Global Edition
Authors: Jonathan Berk, Peter DeMarzo
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