The table below gives statistics relating to two stocks. Mean Annual Return (%) Standard Deviation of Return
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Question:
The table below gives statistics relating to two stocks.
Mean Annual Return (%) | Standard Deviation of Return (%) | Skewness | Excess Kurtosis | |
stock A | 11.5 | 5.5 | -0.45 | -0.5 |
stock B | 12.0 | 8.5 | 0.25 | 2.5 |
If we create a portfolio with 70% of investment on stock A and 30% of investment on stock B and the covariance between two stocks is 16 basis points, what is the portfolio return and standard deviation separately?
11.7% and 0.28% | ||
11.75% and 5.45% | ||
11.75% and 7% | ||
11.7% and 5.29% |
Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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