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If the Returns on Two Assets Have a Correlation Coefficient

question 34

True/False

If the returns on two assets have a correlation coefficient of one, then there are no benefits of diversification by combining these assets in a two-asset portfolio.


Definitions:

Regression Equation

An equation used in statistics to describe the relationship between a dependent variable and one or more independent variables.

CAPM

The Capital Asset Pricing Model, a theory that describes the relationship between the expected return and risk of investing in a security.

Risk-Free Rate

The theoretical rate of return of an investment with zero risk, typically represented by the yield on government securities like U.S. Treasury bonds.

Equity Premium Puzzle

The observed phenomenon where stocks have historically outperformed government bonds by a greater margin than can be explained by traditional financial theories.

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