An investor is evaluating a two-asset portfolio of the following two securities:

a. If the two securities have a correlation of +.6 , what is the expected risk and return for a portfolio that is equally weighted?

b. If the two securities have a correlation of +.6 , what is the expected risk and return for a portfolio that is \(70 \%\) Bocing and \(30 \%\) Unilever?

c. If the two securitics have a correlation of +.6 , what is the expected risk and return for a portfolio that is optimally weighted? (You have to determine the weights that minimize the combined risk.)

Transcribed Image Text:

Security Boeing (U.S.) Unilever (U.K.) Expected Return (percent) 18.6 Std. Der (percent) 22.8 16.0 24.0