You know that assets 1 and 2 have the same standard deviation and that the correlation between
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You know that assets 1 and 2 have the same standard deviation and that the correlation between their returns is 0.4. You observe that the portfolio with 30% invested in asset 1 and the rest in asset 2 has a standard deviation of 12.97%. What is the standard deviation of assets 1 and 2?
Related Book For
Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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