A portfolio consists of 70% of investment A and 30% of investment B. The expected return on investment A is 7% and the expected return on investment B is 9%. The standard deviation of returns of investment A is 2.19%. The standard deviation of returns of investment B is 4.1%. The correlation coefficient of the returns of investment A and investment B=+1. Find a. the expected return from the portfolio b. the standard deviation (risk) of the returns from the portfolio
A portfolio consists of 70% of investment A and 30% of investment B. The expected return on investment A is 7% and the expected return on investment B is 9%. The standard deviation of returns of investment A is 2.19%. The standard deviation of returns of investment B is 4.1%. The correlation coefficient of the returns of investment A and investment B=+1. Find a. the expected return from the portfolio b. the standard deviation (risk) of the returns from 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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A portfolio consists of 70% of investment A and 30% of investment B. The expected
on investment
deviation of returns of investment A is 2.19%. The standard deviation of returns of
investment B is 4.1%. The correlation coefficient of the returns of investment A and
investment B=+1. Find
a. the expected return from the portfolio
b. the standard deviation (risk) of the returns from the portfolio
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