A portfolio is invested 40% in Asset 1 and 60% in Asset 2.

Please calculate the expected return, variance and standard deviation of a two-asset portfolio.

= Asset 1: expected return, E(R1) = 3, variance, o = var(R1) = 1.54 Asset 2: expected return, E(R2) = 5, variance, o = var(R1) = 4.24 = The correlation coefficient between Asset 1 and 2, p2 = corr(R1,R2) = 0.7 = =