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Ksju [112]
3 years ago
6

A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 17%, while stock B has a standard

deviation of return of 23%. Stock A comprises 70% of the portfolio, while stock B comprises 30% of the portfolio. If the variance of return on the portfolio is 0.032, the correlation coefficient between the returns on A and B is _________.
Business
1 answer:
Goryan [66]3 years ago
3 0

Answer:

.793

Explanation:

Formula

.032=.7^2*.17^2+.3^2*.23^2+2(.7)(.3)(.17)(.23)p

.032=.0142+.0048+.0164p

.032-.0142-.0048=.0164p

.0164p=.013

p=.013/.0164

p=.793

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