2. Find the expected return and standard deviation of a portfolio which holds $300 in asset...
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2. Find the expected return and standard deviation of a portfolio which holds $300 in asset A and $700 in asset B. There is a correlation of -0.6 between asset A and B. + Expected Asset Expected Return Standard Deviation A 8.3% 12.1% B 4.6% 7.3% 3. Find the expected return and standard deviation of a portfolio which holds $2,000 in General Electric and $3,500 in Walmart. There is a correlation of -0.4 between asset General Electric and Walmart. For General Electric the expected return is 2.5% and the standard deviation is 4.1%. For Walmart the expected return is 1.4% and the standard deviation is 1.3%. 4. Calculate the Sharpe Ratio for the individual assets and the portfolios in questions 2 and 3, assuming the risk-free rate is 1.2%. 2. Find the expected return and standard deviation of a portfolio which holds $300 in asset A and $700 in asset B. There is a correlation of -0.6 between asset A and B. + Expected Asset Expected Return Standard Deviation A 8.3% 12.1% B 4.6% 7.3% 3. Find the expected return and standard deviation of a portfolio which holds $2,000 in General Electric and $3,500 in Walmart. There is a correlation of -0.4 between asset General Electric and Walmart. For General Electric the expected return is 2.5% and the standard deviation is 4.1%. For Walmart the expected return is 1.4% and the standard deviation is 1.3%. 4. Calculate the Sharpe Ratio for the individual assets and the portfolios in questions 2 and 3, assuming the risk-free rate is 1.2%.
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Related Book For
Corporate Finance
ISBN: 9781265533199
13th International Edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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