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assume that XYZ has an expected return of 5% and a standard deviation of 25%. ABC has an expected return of 9% and a standard
- assume that XYZ has an expected return of 5% and a standard deviation of 25%. ABC has an expected return of 9% and a standard deviation of 14%. Assume that the correlation between XYZ and ABC is 6. Further assume that you plan to invest $350,000 of your wealth in XYZ and $250,000 in ABC. Determine the expected return and the standard deviation of the portfolio, respectively.
- Assume that the correlation coefficient of ABC with XYZ of problem 1 is = -1. How much you invest in each security to obatin the riskless hedge? you are determining the actual dollar amount invested in each security.
- Assume that the correlation coefficient of ABC with XYZ of problem 1 is equal to 1. Determine the expected return and standard deviation of the portfolio.
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