Financial market analytics

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Financial Market Analytics by John L. Teall a) A stock portfolio P is comprised of three stocks A,B,C. The expected returns for the securities are .05 for stock A, .08 for Stock B and .18 for Stock C. The variance of returns for Stock A is .01, .16 for Stock B and .25 for Stock C. The covariance between returns on Stocks A and B is.02, .04 between Stock A and C and .10 between Stocks B and C. Stock A comprises 20% of the portfolio, B comprises 30% of the portfolio and C comprise the remaining 50%. Question: Prepare a 3x3 covariance matrix for the securities which comprises the portfolio

Reference no: EM131015942

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