8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Bonds Stocks Commodities Real Estate Correlation Matrix Bonds Stocks Commodities Real Estate Weight 50% 10% 15% 25% Bonds 1.0 Stocks -0.2 1.0 Expected Return 8% 12% 20% 16% Commodities 0.1 0.4 1.0 Variance (%²) 10 30 15 20 Real Estate 0.3 0.6 0.2 1.0 a. Calculate the expected return and the standard deviation of the return of the portfolio.
8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Bonds Stocks Commodities Real Estate Correlation Matrix Bonds Stocks Commodities Real Estate Weight 50% 10% 15% 25% Bonds 1.0 Stocks -0.2 1.0 Expected Return 8% 12% 20% 16% Commodities 0.1 0.4 1.0 Variance (%²) 10 30 15 20 Real Estate 0.3 0.6 0.2 1.0 a. Calculate the expected return and the standard deviation of the return of the portfolio.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio
weightings, expected returns, variances and correlation matrix are shown below.
Bonds
Stocks
Commodities
Real Estate
Correlation
Matrix
Bonds
Stocks
Commodities
Real Estate
Weight
50%
10%
15%
25%
Bonds
1.0
Stocks
-0.2
1.0
Expected Return
8%
12%
20%
16%
Commodities
0.1
0.4
1.0
Variance (%²)
10
30
15
20
Real Estate
0.3
0.6
0.2
1.0
a. Calculate the expected return and the standard deviation of the return of the
portfolio.
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