A portfolio manager wishes to invest a total of $10 million in US and British portfolios. The
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A portfolio manager wishes to invest a total of $10 million in US and British portfolios. The expected returns are 15 percent on the US portfolio and 12 percent on the British portfolio.
The standard deviations are 10 percent for the US portfolio and 9 percent for the British portfolio. Their correlation coefficient is 0.33. What is the expected return and standard deviation of an international portfolio with 25 percent invested in the US portfolio and 75 percent in the British portfolio?
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Global Corporate Finance Text And Cases
ISBN: 9781405119900
6th Edition
Authors: Suk H. Kim, Seung H. Kim
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