You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.2 percent and a standard deviation of 55.2 percent. Asset S has an expected return of 11.2 percent and a standard deviation of 20.2 percent. The correlation between the two assets is .50. What are the standard deviation and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Standard deviation Expected return 11.01 % %
You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.2 percent and a standard deviation of 55.2 percent. Asset S has an expected return of 11.2 percent and a standard deviation of 20.2 percent. The correlation between the two assets is .50. What are the standard deviation and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Standard deviation Expected return 11.01 % %
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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Transcribed Image Text:You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.2 percent and a
standard deviation of 55.2 percent. Asset S has an expected return of 11.2 percent and a standard
deviation of 20.2 percent. The correlation between the two assets is .50. What are the standard deviation
and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter
your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)
Standard deviation
Expected return
11.01
%
%
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