Question 2: Account 1 has an expected return of 16% and standard deviation of 31%. Account 2 has an expected return of 10% and standard deviation of 24%. The risk-free rate is 4.50% and the correlation between Account 1 and 2 is 0.20. Find the weight of each account, expected return of portfolio and standard deviation of portfolio.

EBK CFIN
6th Edition
ISBN:9781337671743
Author:BESLEY
Publisher:BESLEY
Chapter8: Risk And Rates Of Return
Section: Chapter Questions
Problem 9PROB
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Question 2:
Account 1 has an expected return of 16% and standard deviation of 31%. Account
2 has an expected return of 10% and standard deviation of 24%. The risk-free rate
is 4.50% and the correlation between Account 1 and 2 is 0.20.
Find the weight of each account, expected return of portfolio and standard
deviation of portfolio.
Transcribed Image Text:Question 2: Account 1 has an expected return of 16% and standard deviation of 31%. Account 2 has an expected return of 10% and standard deviation of 24%. The risk-free rate is 4.50% and the correlation between Account 1 and 2 is 0.20. Find the weight of each account, expected return of portfolio and standard deviation of portfolio.
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