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Consider an investor who wishes to invest 40% allocation to defensive investments and 60% allocation to growth investments. The investor has worked out the forecasted
Consider an investor who wishes to invest 40% allocation to defensive investments and 60% allocation to growth investments. The investor has worked out the forecasted volatility, expected return and correlation between the two types of investments as below:
Investments | Volatility | Return |
Defensive | 6% per annum | 5% per annum |
Growth | 18% per annum | 11% per annum |
The correlation between growth and defensive investments is 0.05
Calculate the return and volatility of the portfolio.
Group of answer choices
8.6% and 11.18%
8.6% and 11.06%
8% and 11.06%
None of the other answers
8% and 11.18%
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