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Additional resources for Portfolio Theory & Financial Analyses
Investing 100 percent in A produces a minimum return but minimises risk. If management put all their funds in B, the reverse holds. Between the two extremes, having decided to place say two-thirds of funds in Project A, and the balance in Project B, we find that the portfolio lies one third along A (+1) B at point +1. 1: The Two Asset Risk-Return Profile and the Correlation Coefficient Similarly, if the two returns exhibit perfect negative correlation, we could construct any portfolio that lies along the line A (-1) B.
Com 35 Click on the ad to read more Portfolio Theory & Financial Analyses The Optimum Portfolio We can rearrange its terms, just as we did in Chapter Two, to redefine the covariance: (6) COV(A,B) = COR(A,B) σ A σ B The portfolio variance can now be measured by the substitution of Equation (6) for the covariance term in Equation (2), so that. (7) VAR(P) = x2 VAR(A) + (1-x)2 VAR(B) + 2x (1-x) COR(A,B) σ A σ B The standard deviation of the portfolio then equals the square root of Equation (7): (8) σ (P) = √ VAR(P) = √ [x2 VAR(A) + (1-x) 2 VAR(B) + 2x(1-x) COR(A,B) σ A σ B] Armed with this information, we can now confirm that: If the returns from two investments exhibit perfect, positive correlation, portfolio risk is simply the weighted average of its constituent’s risks and at a maximum.
In line with the corevalue to be ‘First’, the company intends to expand its market position. Dedicated Analytical Solutions FOSS Slangerupgade 69 3400 Hillerød Tel. com 41 Click on the ad to read more Portfolio Theory & Financial Analyses The Optimum Portfolio Since all the variables in the equation for minimum variance are now known, the risk-return trade-off can be solved. Moreover, if the correlation coefficient equals minus one, risky investments can be combined into a riskless portfolio by solving the following equation when the standard deviation is zero.