Security A has an expected return of 7 percent, a standard deviationof expected returns of 35 percent, a correlationcoefficient 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?
Security A is more risky because in a single-asset portfolio, A’s standard deviation of …
Calculations for security risks are provided.