Consider two assets (X and Y) with µx = 10%, µy = %3D 10%, o x=.16, o,=.25, and Cov(X,Y) = -.125. What is the expected return and variance of the portfolio having 70% invested in X and 30% invested in Y? Compare the risk and return of this portfolio with the risks and returns associated with investing everything in either X or Y. a. What is Pxy? b. What is the expected return of the portfolio |(.7K+.3v)? c. What is the standard deviation of the portfolio |(0,7x+.3Y)? d. How does the standard deviation of the portfolio |(0,7x+.3y) compare to the standard deviations of assets X and Y?

Consider two assets (X and Y) with µx = 10%, µy = %3D 10%, o x=.16, o,=.25, and Cov(X,Y) = -.125. What is the expected return and variance of the portfolio having 70% invested in X and 30% invested in Y? Compare the risk and return of this portfolio with the risks and returns associated with investing everything in either X or Y. a. What is Pxy? b. What is the expected return of the portfolio |(.7K+.3v)? c. What is the standard deviation of the portfolio |(0,7x+.3Y)? d. How does the standard deviation of the portfolio |(0,7x+.3y) compare to the standard deviations of assets X and Y?

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Question

Consider two assets (X and Y) with ux = 10%, µy =
10%, ox=.16, o v =.25, and Cov(X,Y) = -.125. What is
the expected return and variance of the portfolio
having 70% invested in X and 30% invested in Y?
Compare the risk and return of this portfolio with the
risks and returns associated with investing everything
in either X or Y.
a. What is Pxy?
b. What is the expected return of the portfolio
(H.7X+.3v)?
c. What is the standard deviation of the portfolio
(0.7x+.3y)?
d. How does the standard deviation of the portfolio
|(0.7x+.3y) compare to the standard deviations of
assets X and Y?

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