Assume that each stock has the same return variance and that all pairs of stocks have...
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Assume that each stock has the same return variance and that all pairs of stocks have the same correlation. Assume the portfolio's average variance of return is 450, and the correlation between the returns of any two stocks is 0.30. Determine the return variance of a 35-stock portfolio that is evenly weighted. Next, express that variance as a percentage of the total portfolio variance, assuming an infinite number of stocks and constant stock variance and correlation. Assume that each stock has the same return variance and that all pairs of stocks have the same correlation. Assume the portfolio's average variance of return is 450, and the correlation between the returns of any two stocks is 0.30. Determine the return variance of a 35-stock portfolio that is evenly weighted. Next, express that variance as a percentage of the total portfolio variance, assuming an infinite number of stocks and constant stock variance and correlation.
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Answer rating: 100% (QA)
Answer Average variance 450 Correlation 030 Average covariance Correlation Average ... View the full answer
Related Book For
Systems analysis and design in a changing world
ISBN: 978-1423902287
5th edition
Authors: John W. Satzinger, Robert B. Jackson, Stephen D. Burd
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