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Need help with Inv.Management / CAPM etc theory
so i can't seem to find the reason in my text book, and god knows what i must type as keywords to find out the solution
so basically it's a question regarding Beta's and covariances and standard deviations (sd) etc... there's portfolio A, portfolio B, and then there's the Market M. so i know that Beta(A) = sd(A,M) / sd(M)^2 Beta(B) = sd(B,M) / sd(M)^2 and i know that Correlation P(A,M) = sd(A,M)/[sd(A)*sd(M) etc etc now how the heck do i get from that to.... this formula: sd(A,B) = Beta(A)*sd(M)*Beta(B)*sd(M) ??? someone please explain if they could! please! |
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