A Palestinian investor decides to hold a portfolio with 80% invested in the S&P 500 stock index and 20% in the MSCI market index. The expected return is 9.93% for the S&P 500 and 18.20% for MSCI index. The risk (SD) is 16.21% for the S&P 500 and 33.11% for the MSCI. What will be the portfolio expected return and risk given that the covariance between the S&P 500 and MSCI is 0.5 precent or 0.0050. The portfolio risk is 14.785% 17.98% 15.10% 16.90%
A Palestinian investor decides to hold a portfolio with 80% invested in the S&P 500 stock index and 20% in the MSCI market index. The expected return is 9.93% for the S&P 500 and 18.20% for MSCI index. The risk (SD) is 16.21% for the S&P 500 and 33.11% for the MSCI. What will be the portfolio expected return and risk given that the covariance between the S&P 500 and MSCI is 0.5 precent or 0.0050. The portfolio risk is 14.785% 17.98% 15.10% 16.90%
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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