Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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11. Here are some historical data on the risk characteristics of Ford and Harley Davidson.
Ford
Harley Davidson
0.87
Beta
Annual Standard Deviation of return (%) 32.4
16.2
a) The correlation coefficient of Ford's return versus Harley Davidson is 0.41. What is the standard deviation of a portfolio invested half in each share?
b) What is the standard deviation of a portfolio invested one-third in Ford, one-third in Harley Davidson, and one-third in risk-free Treasury bills?(Hint:
treat the whole portfolio as a portfolio in part a) plus risk-free assets. You need to figure out the new weights.)
1.36
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Transcribed Image Text:11. Here are some historical data on the risk characteristics of Ford and Harley Davidson. Ford Harley Davidson 0.87 Beta Annual Standard Deviation of return (%) 32.4 16.2 a) The correlation coefficient of Ford's return versus Harley Davidson is 0.41. What is the standard deviation of a portfolio invested half in each share? b) What is the standard deviation of a portfolio invested one-third in Ford, one-third in Harley Davidson, and one-third in risk-free Treasury bills?(Hint: treat the whole portfolio as a portfolio in part a) plus risk-free assets. You need to figure out the new weights.) 1.36
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