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11. Here are some historical data on the risk characteristics of Ford and Harley Davidson. Harley Ford Davidson Beta 1.36 0.87 Annual Standard Deviation of

11. Here are some historical data on the risk characteristics of Ford and Harley Davidson. Harley Ford Davidson Beta 1.36 0.87 Annual Standard Deviation of return (%) 32.4 16.2 a) The correlation coefficient of Ford's return versus Harley Davidson is 0.41. What is the standard deviation of a portfolio invested half in each share? b) What is the standard deviation of a portfolio invested one-third in Ford, one-third in Harley Davidson, and one-third in risk-free Treasury bills? (Hint: treat the whole portfolio as a portfolio in part a) plus risk-free assets. You need to figure out the new weights.)

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