Question 7
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You are considering a portfolio of two stocks A and B. The expected returns, standard
deviation, and correlation coefficient of stock returns are as follows:
E(RA)=0.10 E(RB)=0.15 РА, в=0.1, σα=0.4, σε=0.4
0.2 pts
If the covariance matrix for stocks A and B is ∑ =
(2)
what should be the value of y
in the matrix? (Please round your answer to the closest third decimal place.)