You are asked to evaluate the risk of a portfolio that is long $100 of AAPL and
Question:
You are asked to evaluate the risk of a portfolio that is long $100 of AAPL and short $100 of XOM. The standard deviation of returns for AAPL is 40%. The standard deviation of returns for XOM is 30%. The correlation between the two is 37.5%.
What is the standard deviation of the portfolio? What is the standard deviation of each position separately?
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Using Equation 515 we can calculate the portfolio standard deviation The portfo...View the full answer
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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