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QUESTION
Compute the correlation between assets A and B if you know that the standard deviation of B is 50% of the standard deviation of A and the covarancce...
Compute the correlation between assets A and B if you know that the standard deviation of B is 50% of the standard deviation of A and the covarancce between the two assets is 0.5 times the variance of asset A.
What is the risk (measured as the variance) of the portfolio created by investing 50% in asset A and 50% in asset B in the previous point? Assume that the variance of the asset A is 4/9.
