Correlation coefficients with STD(%) A B C A 20 1.0 B 0 0.0 0.0 C 30 0.2
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Question:
Correlation coefficients with
STD(%) A B C
A 20 1.0
B 0 0.0 0.0
C 30 0.2 0.0 1.0
Calculate the standard deviation for a portfolio consisting of all three securities. The portfolio weights are 20 percent in A, 40 percent in B and 40 percent in C. Express your answer as a percent to the nearest hundredth.
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