Example 9: What is the portfolio standard deviation for a two-asset portfolio comprised of the following two assets if the correlation of their returns is 0.5? Asset A Asset B Expected return 10% 20% Stańdard deviation of expected returns 5% 20% Amount invested 40,000 760,000

Example 9: What is the portfolio standard deviation for a two-asset portfolio comprised of the following two assets if the correlation of their returns is 0.5? Asset A Asset B Expected return 10% 20% Stańdard deviation of expected returns 5% 20% Amount invested 40,000 760,000

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

Example 9: What is the portfolio standard deviation for a two-asset
portfolio comprised of the following two assets if the correlation of their
returns is 0.5?
Asset A
Asset B
Expected return
Stańdard deviation of expected returns
10%
20%
5%
20%
Amount invested
740,000 760,000

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