Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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A trader has invested $100,000 in Stock A and $150,000 in Stock B. She knows the following:
• Stock A's daily average return is 0% and its daily standard deviation is 1%.
• Stock B's daily average return is 0% and its daily standard deviation is 4%.
• The stocks have a correlation of 0.8.
If returns are assumed to be
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