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An investor has a portfolio of two assets A and B. The details are shown in the below table. Portfolio Details Asset Expected return Standard
An investor has a portfolio of two assets A and B. The details are shown in the below table.
Portfolio Details | |||||
Asset | Expected return | Standard deviation | Covariance (A, B) | Expected Portfolio Return | |
A | 0.03 | 0.5 | 0.18 | 0.06 | |
B | 0.04 | 0.6 |
Which one of the following statements is NOT correct?
a.
The portfolio has some diversification.
b.
The investor can benefit from a fall in the price of asset A.
c.
The standard deviation of the portfolio is 2.08.
d.
The correlation of asset A and Bs returns is 0.6.
e.
The portfolio weight in asset A is -200%.
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