You have two assets to choose from for your portfolio: A and B. You choose 25% A and 75% B. The statistics of the two assets are: • E(r) = 7%, E(r₂ ) = 12% B 0² = 0.0016, 0² B = 0.0049 A Compute the expected return and variance of your portfolio under each of the following assumptions: • 1. PAB = 0.5
You have two assets to choose from for your portfolio: A and B. You choose 25% A and 75% B. The statistics of the two assets are: • E(r) = 7%, E(r₂ ) = 12% B 0² = 0.0016, 0² B = 0.0049 A Compute the expected return and variance of your portfolio under each of the following assumptions: • 1. PAB = 0.5
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 have two assets to choose from for your portfolio: A and B. You
choose 25% A and 75% B. The statistics of the two assets are:
E(r) = 7%, E(r₂ ) = 12%
o² = 0.0016, 0² = 0.0049
A
B
Compute the expected return and variance of your portfolio under
each of the following assumptions:
●
= = 0.5
1. PAB
• 2. PAB = 0.0
3. PAB = -0.5
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