Supposing that we are told that PERF has allocated $650 million principal in U.S stocks to two..
Supposing that we are told that PERF has allocated $650 million principal in U.S stocks to two active managers who are equally good with each manager receiving the same amount of $325 million. The managers ran portfolios with volatility of 15.8% and correlation of 0.81 with each other. Compute the total risk budget. Assume that a=2.33. A $261.947 B $307.148 C $227.641 D $321.049
Apr 03 2020 View more View Less
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