a. the expected return and b. the volatility(standard deviation) of a portfolio that consists of a long position of $12,000 in Johnson & Johnson and a short position of $2,000 in Walgreens.
a. the expected return and b. the volatility(standard deviation) of a portfolio that consists of a long position of $12,000 in Johnson & Johnson and a short position of $2,000 in Walgreens.
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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Question
Suppose Johnson & Johnson and Walgreen Boots Alliance have expected returns and volatilities shown here, with a correlation of 20%. Calculate a. the expected return and b. the volatility(standard deviation) of a portfolio that consists of a long position of $12,000 in Johnson & Johnson and a short position of $2,000 in Walgreens.
Expected Return Standard Deviation
Johnson & Johnson 7.7% 16.5%
Walgreens 9.4% 19.2%
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