The market portfolio is assumed to be composed of four securities. Their covariances with the market and their proportions follow:
Security Covariance with Market Proportion
A 242 0.2
B 360 0.3
C 155 0.2
D 210 0.3
Given these data, calculate the market portfolio's standard deviation.© BrainMass Inc. brainmass.com June 3, 2020, 5:58 pm ad1c9bdddf
See the Excel file attached.
The standard deviation of the market portfolio can be shown to be a function of the covariances with it of each of the securities that make up the market portfolio. Therefore the ...
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