1. Assets A and B have the following historical returns Year Asset A Asset B 5%...
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1. Assets A and B have the following historical returns Year Asset A Asset B 5% 1% 12% 7% 2% 5% -5% -10% 3% 20% -10% 1% 29% 1 2 3 4 5 6 7 8 9 2% 15% -2% 6% 18% a. Compute the sample standard deviation of asset A, the sample standard deviation of asset B, and the correlation between the two assets. b. Find the standard deviation of a portfolio that invests 50% in asset A and 50% in asset B. c. Find the portfolio that has minimal variance (you may do this either by using Excel solver, or by using calculus). 1. Assets A and B have the following historical returns Year Asset A Asset B 5% 1% 12% 7% 2% 5% -5% -10% 3% 20% -10% 1% 29% 1 2 3 4 5 6 7 8 9 2% 15% -2% 6% 18% a. Compute the sample standard deviation of asset A, the sample standard deviation of asset B, and the correlation between the two assets. b. Find the standard deviation of a portfolio that invests 50% in asset A and 50% in asset B. c. Find the portfolio that has minimal variance (you may do this either by using Excel solver, or by using calculus).
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a Asset A standard deviation 544 965 Asset B standard d... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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