Question
An Investor is interested to construct a portfolio of two securities, X and Y. He is given the following information: The expected return for X
An Investor is interested to construct a portfolio of two securities, X and Y. He is given the following information: The expected return for X and Y are 11.75% and 20.25% respectively and standard deviation of return () of X is 9.95% and 18.12% respectively and correlation of coefficient () between X & Y is 0.159. If the investor is constructing five portfolios as follows: all funds are invested in X, 50% each in X and Y, 80% & 20% in X and Y, 30% & 70% in X and Y and All in Y, compute expected return and risk from all portfolios and which portfolio is best performing from return and risk point of view.
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