Three funds have the following annual expected returns (E[R]), variances and covariances: Fund E[R] Variance-Covariance Matrix US Equity African Bond UK Directional US Equity 0.06 0.04 0.015 0.008 African Bond 0.08 0.015 0.09 0.018 UK Directional 0.12 0.008 0.018 0.16 (i) Calculate the correlation coefficients between each pair of funds. (ii) Calculate the expected returns and standard deviations for the following portfolios.
Three funds have the following annual expected returns (E[R]), variances and covariances:
Fund E[R] Variance-
US Equity African Bond UK Directional
US Equity 0.06 0.04 0.015 0.008
African Bond 0.08 0.015 0.09 0.018
UK Directional 0.12 0.008 0.018 0.16
(i) Calculate the
(ii) Calculate the expected returns and standard deviations for the following portfolios.
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