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A portfolio is constituted with three securities having the following characteristics: Stock Retum% Standard deviation 32 26 18 Correlation with stock A B 1.0 -0.80
A portfolio is constituted with three securities having the following characteristics: Stock Retum% Standard deviation 32 26 18 Correlation with stock A B 1.0 -0.80 -0.80 1.0 0.40 0.65 0.40 0.65 1.0 24.8 15.7 C If the portfolio is constructed with 15 percent of stock A, 50 percent of stock B and 35 percent of stock C, what are the expected return and risk of the portfolio
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