13.

Suppose the expected returns and standard deviations of Stocks A and B are E(R_A) = .095, E(R_B) = .155, _A = .365, and _B = .625.

a-1.	Calculate the expected return of a portfolio that is composed of 40 percent Stock A and 60 percent Stock B when the correlation between the returns on A and B is .55. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Expected return

%

a-2.	Calculate the standard deviation of a portfolio that is composed of 40 percent Stock A and 60 percent Stock B when the correlation between the returns on A and B is .55. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Standard deviation

%

b.	Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on Stocks A and B is .55. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Standard deviation

%