Consider two assets (1 & 2) with the following information: E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %, If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s expected return and risk if the correlation between the return on assets 1 and 2 is -0.20?
Consider two assets (1 & 2) with the following information: E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %, If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s expected return and risk if the correlation between the return on assets 1 and 2 is -0.20?
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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Consider two assets (1 & 2) with the following information:
E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %,
If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s
expected return and risk if the correlation between the
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