What is the DEAR of the bank's

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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SRK is a small bank. Its trading portfolio comprises BHP bonds and TLS stock. The DEAR of the two trading assets (in millions) are: BHP
bonds $3.2 and TLS stock 2.9. The correlation coefficient between the daily returns of the two assets is 0.03. What is the DEAR of the bank's
trading portfolio?
(Please only provide the magnitude of DEAR, i.e. without a minus sign, and round your answer to two decimal places in terms of millions of
dollars - please do not show the $ sign in the answer. e.g. if the answer is -$2.13 million, enter 2.13)
Answer:
Transcribed Image Text:SRK is a small bank. Its trading portfolio comprises BHP bonds and TLS stock. The DEAR of the two trading assets (in millions) are: BHP bonds $3.2 and TLS stock 2.9. The correlation coefficient between the daily returns of the two assets is 0.03. What is the DEAR of the bank's trading portfolio? (Please only provide the magnitude of DEAR, i.e. without a minus sign, and round your answer to two decimal places in terms of millions of dollars - please do not show the $ sign in the answer. e.g. if the answer is -$2.13 million, enter 2.13) Answer:
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