We have the following information on a portfolio consisting of Stocks A, B, and C: A B C Expectd annual return 25% 20% 15% Standard Deviation of Return 35% 30% 25% Price per share 100 85 75 # shares 100,000 150,000 200,000 correlation coefficient (A,B) 0.5 correlation coefficient (A,C) 0.2 correlation coefficient (B,C) .8 number of days per year 365 What is the annual expected portfolio return. Include formula, variables, values, and market values of A, B, and C.
2-11
We have the following information on a portfolio consisting of Stocks A, B, and C:
A B C
Expectd annual return 25% 20% 15%
Standard Deviation of Return 35% 30% 25%
Price per share 100 85 75
# shares 100,000 150,000 200,000
correlation coefficient (A,B) 0.5
correlation coefficient (A,C) 0.2
correlation coefficient (B,C) .8
number of days per year 365
What is the annual expected portfolio return. Include formula, variables, values, and market values of A, B, and C.
Step by step
Solved in 2 steps with 2 images
