Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

An investor's portfolio comprises of $6 million in asset A and $ 4 million in asset B. Asset A has an expected return of 0.04

image text in transcribed
An investor's portfolio comprises of $6 million in asset A and $ 4 million in asset B. Asset A has an expected return of 0.04 and a return standard deviation of 0.2, while the expected return and return standard deviation of asset B are 0.12 and 0.28 respectively. The estimated correlation coefficient between returns of two assets is 0.80. What is the standard deviation of the investor's portfolio return? Please round your calculation to the nearest 2nd decimal and fill in the calculated number below. Please put your answer as decimal values instead of percentage points (e.g., 0.01, but not 1%)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Port Infrastructure Finance

Authors: Hilde Meersman, Eddy Van De Voorde, Thierry Vanelslander

1st Edition

0415720060, 978-0415720069

More Books

Students also viewed these Finance questions