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Here are some historical data on the risk characteristics of Ford and Harley Davidson.
Here are some historical data on the risk characteristics of
Ford and Harley Davidson.
Ford
Harley Davidson
β (beta)
1.62
0.80
Yearly standard deviation of return (%)
30.0
16.5
Assume the standard deviation of the return on the market was
17.0%.
a. The correlation coefficient of Ford’s return
versus Harley Davidson is 0.30. What is the standard deviation of a
portfolio invested half in each share?
b. What is the standard deviation of a
portfolio invested one-third in Ford, one-third...
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