ABC Bank has two $28,500 loans that have the following characteristics; Loan 1 has an expected...
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ABC Bank has two $28,500 loans that have the following characteristics; Loan 1 has an expected return of 16% and a standard deviation of returns of 17%. Loan 2 has an expected return of 11% and a standard deviation of returns of 18. If the covariance of returns of loans 1 and 2 is -0.010, the standard deviation of the portfolio is % (rounded to two decimal places). ABC Bank has two $28,500 loans that have the following characteristics; Loan 1 has an expected return of 16% and a standard deviation of returns of 17%. Loan 2 has an expected return of 11% and a standard deviation of returns of 18. If the covariance of returns of loans 1 and 2 is -0.010, the standard deviation of the portfolio is % (rounded to two decimal places).
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To calculate the standard deviation of a portfolio consisting of two assets we need the weights of e... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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