Determine the covariance between the two assets and write the covariance variance matrix. We believe that...
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Determine the covariance between the two assets and write the covariance variance matrix. We believe that 2 assets with returns are quoted on the market E R(1) = ER( 2) = 0,1 And with the risks ₁=0,15, ₂=0,25 The two assets evolve independently on the market, i.e. the coefficient of correlation between the two assets is P12 =0. Determine the covariance between the two assets and write the covariance variance matrix. Determine the covariance between the two assets and write the covariance variance matrix. We believe that 2 assets with returns are quoted on the market E R(1) = ER( 2) = 0,1 And with the risks ₁=0,15, ₂=0,25 The two assets evolve independently on the market, i.e. the coefficient of correlation between the two assets is P12 =0. Determine the covariance between the two assets and write the covariance variance matrix.
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Answer rating: 100% (QA)
To determine the covariance between two assets you can use the following formula when you know the c... View the full answer
Related Book For
Applied Statistics And Probability For Engineers
ISBN: 9781118539712
6th Edition
Authors: Douglas C. Montgomery, George C. Runger
Posted Date:
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