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Compute portfolio standard deviation of return (only two assets)

June 14, 2012
  • Cov(Ra, Rb) = STDa * STDb * Cor(a, b)
  • ϑ^2(Rp) = (Wa^2)(ϑ^2(Ra)) + (Wb^2)(ϑ^2(Rb)) + (2)(Wa)(Wb)(Cov(Ra, Rb))
  • STDp = Square Root of ϑ^2(Rp)
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From → Quant

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