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johnpaech johnpaech
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6 years ago
What is the variance on a portfolio that has $3000 invested in Duke Energy, $4000 invested in Microsoft, and $3000 invested in Wal-Mart stock?
Textbook 
Corporate Finance: The Core

Corporate Finance: The Core


Edition: 4th
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#1
6 years ago
Variance of a portfolio = 

COV   Duke   Microsoft   Wal-Mart
Duke   0.0568   -0.0193   0.0037
Microsoft   -0.0193   0.2420   0.1277
Wal-Mart   0.0037   0.1277   0.1413
         
Weights   0.3   0.4   0.3

XiXj   XDuke   XMicrosoft   XWal-Mart
XDuke   0.09   0.12   0.09
XMicrosoft   0.12   0.16   0.12
XWal-Mart   0.09   0.12   0.09

XiXjCOV(I,j)   Duke   Microsoft   Wal-Mart
Duke   0.005112   -0.00232   0.00033
Microsoft   -0.00232   0.038714   0.015322
Wal-Mart   0.00033   0.015322   0.012715
         
Var(P) =   0.083205
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