Arbor Systems and Gencore stocks both have a volatility of 36%. Compute the volatility of a portfolio
Question:
Arbor Systems and Gencore stocks both have a volatility of 36%. Compute the volatility of a portfolio with 50% invested in each stock if the correlation between the stocks is
(a) +1.0,
(b) 0.50,
(c) 0,
(d) -0.50, and
(e) -1.0. In which of the cases is the volatility lower than that of the original stocks?
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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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