Using the data in the following table, and the fact that the correlation of A and B is 0

Finance Dec 21, 2020

Using the data in the following table, and the fact that the correlation of A and B is 0.46, calculate the volatility (standard deviation) of a portfolio that is 80% invested in stock A and 20% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.) Realized Returns Year Stock A Stock B 2008 29% 2009 10% 21% 2010 9% 8% 2011 -8% - 10% 2012 5% - 13% 2013 13% 33% - 2% The standard deviation of the portfolio is % (Round to two decimal places.)

Expert Solution

A	B	0.8A + 0.2B
-2%	29%	4.20%
10%	21%	12.20%
9%	8%	8.80%
-8%	-10%	-8.40%
5%	-13%	1.40%
13%	33%	17.00%

use stdev function in Excel

standard dev of portfolio = 8.93%

Archived Solution

Unlocked Solution

You have full access to this solution. To save a copy with all formatting and attachments, use the button below.

Already a member? Sign In

Important Note: This solution is from our archive and has been purchased by others. Submitting it as-is may trigger plagiarism detection. Use it for reference only.

For ready-to-submit work, please order a fresh solution below.

Or get 100% fresh solution

Get Custom Quote