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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
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
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• 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
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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