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a) James White has invested 70% of his money in share A and the remainder in share B. He evaluates their prospects as following: Expected
a) James White has invested 70% of his money in share A and the remainder in share B. He evaluates their prospects as following: Expected return (%) Standard deviation (%) Correlation between returns 17 15 B 20 25 0.2 What are the expected return and standard deviation of returns on his portfolio? (20 marks) b) Assume the 1-year government bond yield is 3% and the expected return on FTSE-100 is 13%, what is the beta of shares A and B? (30 marks)
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