Reconsider the two stocks in Concept Check 8.2. Suppose we form an equally weighted portfolio of A

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Reconsider the two stocks in Concept Check 8.2. Suppose we form an equally weighted portfolio of A and B.

What will be the nonsystematic standard deviation of that portfolio?

Concept Check 8.2

Suppose that the index model for the excess returns of stocks A and B is estimated with the following results:

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Find the standard deviation of each stock and the covariance between them.

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ISE Investments

ISBN: 9781260571158

12th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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