Security A has an expected rate of return of 6%, a standard deviation of returns of 30%, a correlation coefficient with the market of -0.25, and a beta coefficient of -0.5. Security B has an expected return of 11%, a standard deviation of returns of 10%, a correlation with the market of 0.75, and a beta coefficient of 0.5. Which security is more risky? Why?© BrainMass Inc. brainmass.com June 3, 2020, 9:18 pm ad1c9bdddf
Security A is less risky if held in a diversified portfolio because of its negative ...
The solution compares two Securities' riskiness. There are various measures of risk presented in the question - correlation, standard deviation, beta, etc. The solution identifies which measure is appropriate when we are considering risk as a standalone security and as a part of portfolio.