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Swed Greta hastisk aversion of A-5 when applied to return on wealth over a one-year...

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Swed Greta hastisk aversion of A-5 when applied to return on wealth over a one-year horizon. She is pondering two portfolios, the S&P 500 and a hedge fund, as well as a number of one-year strategies (All rates are annual and continuously compounded) The S&P 500 tisk premium is estimated at 7% per year with a standard deviation of 19 The hedge fund risk premium is estimated at 9% with a standard deviation of 34% The returns on both of these portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coefficient between the annual return on the S&P 500 and the hedge fund return in the same year is zero, but Greta is not fully Corwinced try this claim Mt the corelation coefficient between annual portfolio returns is actually 03, wat is the covariance between the returns (Round your answer to 3 decimal places) Ancora

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