Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? b. If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?
Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? b. If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 13P
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Transcribed Image Text:Question 14
Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.
Security G has an expected return of 15 percent and a standard deviation of 62 percent per year.
a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent
of Security G?
b. If the correlation between the returns of Security F and Security G is .25, what is the standard
deviation of the portfolio described in part (a)?
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