1. In step 1, you make a Risky-asset portfolio R, which includes assets A and B.

The expected return of the Risky-asset portfolio R is

1. 12%
2. 20%
3. 14%
4. 16%
5. 18%

2. The standard deviation of the Risky-asset portfolio R' is

1. 6%
2. 4%
3. 2%
4. 5%
5. 1%

In step 2, you make a Risky- and risk-free-asset portfolio P, which includes Risky-asset portfolio R created in step 1 and a risk-free asset .

3. Risky- and risk-free-asset portfolio P' expected return is

1. 5%
2. 7%
3. 4%
4. 8%
5. 6%

4. Risky- and risk-free-asset portfolio P' standard deviation is

1. 3.6%
2. 2.6%
3. 1.6%
4. 4.6%
5. 0%
6. 0.6%

In-class Manaba test 1 Step1 The expected return and standard deviation of A are E[rg)=0.04, =0.02 The expected return and standard deviation of B are E(Tg )=0.20, OB Investment weights are w;=0.5 and w 3 = 0.5 The correlation between A and B is p=0.1 In-class Manaba test 1 Step 2 Assuming that Rp =0.02 Investment weight wr=0.4 and wri= 0.6 Risk-free and risky assets Portfolio Pexpected return is ), standard deviation is