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Calculating security risk

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Security A has an expected return of 7 percent, a standard deviation of expected returns of 35 percent, a correlation coefficient with the market of -0.3 and a beta coefficient of -0.5. Security B has an expected return of 12 percent, a standard deviation of returns of 10 percent, a correlation with the market of 0.7 and a beta coefficient of 1.0.

Which security is riskier? Why?

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Solution Summary

Calculations for security risks are provided.

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Security A is more risky because in a single-asset portfolio, A's standard deviation of ...

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