In a portfolio of three randomly selected stocks, which of the following could NOT be true
1. Stocks A and B each have an expected return of 12%, a beta of 1.2, and a standard deviation of 25%. The returns on the two stocks have a correlation of 0.6. Portfolio P has 50% in Stock A and 50% in Stock B. Which of the following statements is CORRECT?
a. Portfolio P has a beta that is greater than 1.2.
b. Portfolio P has a standard deviati ...
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16 Apr 2016