Question
Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are
Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows:
US Brazil
E[r] 5% 10%
SD[r] 15% 25%
The correlation between the returns is 0.4, and the (annual) risk-free (T-bill) rate is 1%.
b.Find the weights in the US and Brazil for a portfolio with an expected return of 15%. What is the standard deviation of this portfolio (in percent)?
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Mathematics For Business
Authors: Stanley A Salzman, Charles D Miller, Gary Clendenen
8th Edition
0321357434, 9780321357434
