Question

Question 19

Assume the standard deviation of stock A is 20% and the standard deviation of stock B is 50%. You have bought $10,000 worth of stock A and $30,000 worth of stock B. If the correlation coefficient between the two stocks is -0.30 (negative!), what is the standard deviation of this two-stock portfolio?

a) 34.8% |
||

b) 35.8% |
||

c) 36.3% |
||

d) 37.1% |
||

e) 37.5% |

Answer #1

QUESTION 12
The investor is presented with the two following stocks:
Expected Return
Standard Deviation
Stock A
10%
30%
Stock B
20%
60%
Assume that the correlation coefficient between the stocks is
-1. What is the standard deviation of the return on the portfolio
that invests 30% in stock A?
A.
26%
B.
49%
C.
30%
D.
33%

The expected return on stocks A and B are 20%, and 30%,
respectively. The standard deviation of stocks A and B are 20%, and
40%, respectivley. The correlation coefficient between the two
stocks is negative one. You plan to form a portfolio from stocks A
and B that will yield zero risk. What proportions of your money
will you invest in stock A?

A portfolio is composed of two stocks, A and B. Stock A has a
standard deviation of return of 20%, while stock B has a standard
deviation of return of 26%. Stock A comprises 60% of the portfolio,
while stock B comprises 40% of the portfolio. If the variance of
return on the portfolio is 0.035, the correlation coefficient
between the returns on A and B is _________.
A .157
B.392
C.235
D.102

What is the standard deviation of a portfolio of two stocks
given the following data: Stock A has a standard deviation of 18%.
Stock B has a standard deviation of 14%. The portfolio contains 40%
of stock A, and the correlation coefficient between the two stocks
is -.23.
9.7%
12.2%
14%
15.6%

True or False? -- Stock A has an expected return of 7%
and a standard deviation of 8%. Stock B has an expected return of
9% and a standard deviation of 10%. If the portfolio that consists
of 50% stock A and 50% stock B has a standard deviation of 8%, the
correlation coefficient of stocks A and B must be 0.88.

What is the standard deviation of a portfolio of two stocks
given the following data: Stock A has a standard deviation of 18%.
Stock B has a standard deviation of 14%. The portfolio contains 40%
of stock A, and the correlation coefficient between the two stocks
is -.23.
Multiple Choice
A. 9.7%
B. 12.2%
C. 14%
D. 15.6%

Assume that you have invested in two stock A and B. Stock A has
a standard deviation of return of 10 percent. Stock B has a
standard deviation of return of 20 percent. The correlation
coefficient between the two stocks is 0.25. If you invest 70
percent of your funds in stock A and 30 percent in stock B, what is
the standard deviation of your portfolio?

9. The standard deviation of annual returns for Stock #1 is 76%
and for Stock #2 is 40%. The correlation of Stock #1's returns to
Stock #2's returns is +1. If you buy $40 worth of Stock #1, how
much worth of Stock #2 must you trade in order to created a hedged
portfolio of the two stocks? If you want buy Stock #2, make it a
positive number and if you want to short-sell Stock #2, type a
negative...

A portfolio is composed of two stocks, A and B. Stock A has a
standard deviation of return of 23% while stock B has a standard
deviation of return of 21%. Stock A comprises 40% of the portfolio
while stock B comprises 60% of the portfolio. If the variance of
return on the portfolio is .0380, the correlation coefficient
between the returns on A and B is __________.
0.589
0.604
0.599
0.579

A portfolio is composed of two stocks, A and B. Stock A has a
standard deviation of return of 24%, while stock B has a standard
deviation of return of 18%. Stock A comprises 60% of the portfolio,
while stock B comprises 40% of the portfolio. If the variance of
return on the portfolio is 0.041, the correlation coefficient
between the returns on A and B is _________.
Multiple Choice
0.727
0.436
0.291
0.131

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