Which one of the following statement is NOT correct? O If you know the correlation parameter...
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Which one of the following statement is NOT correct? O If you know the correlation parameter between rA and rB and their standard deviation measures, then you can also pin down the covariance between them. Suppose that assets A and B have positive covariance. Also, assets B and C have positive covariance. In this situation, assets A and C can have negative covariance. If covariance between assets A and B is greater than covariance between assets C and D, this always implies the magnitude of comovement is stronger for A and B than C and D. O The risk of a complete portfolio decreases if you allocate more money to the risk-free asset. If you cannot take leverage nor short sell, the minimum variance of the portfolio of risky assets A and B is decreasing when correlation of A and B decreases. Which one of the following statement is NOT correct? O If you know the correlation parameter between rA and rB and their standard deviation measures, then you can also pin down the covariance between them. Suppose that assets A and B have positive covariance. Also, assets B and C have positive covariance. In this situation, assets A and C can have negative covariance. If covariance between assets A and B is greater than covariance between assets C and D, this always implies the magnitude of comovement is stronger for A and B than C and D. O The risk of a complete portfolio decreases if you allocate more money to the risk-free asset. If you cannot take leverage nor short sell, the minimum variance of the portfolio of risky assets A and B is decreasing when correlation of A and B decreases.
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Related Book For
Materials and process in manufacturing
ISBN: 978-0471656531
9th edition
Authors: E. Paul DeGarmo, J T. Black, Ronald A. Kohser
Posted Date:
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