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13 -16 [ Questions 8-9] Consider the following three assets . Asset A's expected return is 5% and return standard deviation is 25%. Asset B's

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13 -16

[ Questions 8-9] Consider the following three assets . Asset A's expected return is 5% and return standard deviation is 25%. Asset B's expected return is 8% and return standard deviation is 32%. Asset C is a risk-free asset with 2% return. The correlation between assets A and B is 0.3 8. Constructing a portfolio from assets A and B such that the expected return of the portfolio equals 7%, find the portfolio weights of assets A and B and compute the return standard deviation of the portfolio 9. Constructing a portfolio from assets A and C such that the expected return of the portfolio equals 2.5%, find the portfolio weights of assets A and C and compute the return standard deviation of the portfolio

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