Question
Expected Return A: 7.5% B:10% Standard deviation: A: 5% B: 15% Investor invest $50,000 in a portfolio consisting of A and B. $10,000 of that
Expected Return
A: 7.5% B:10%
Standard deviation:
A: 5% B: 15%
Investor invest $50,000 in a portfolio consisting of A and B.
$10,000 of that investment was funded with risk free borrowing.
The expected return of the investor's portfolio is 9.375%
- calculate the dollar amounts invested in each of X and Z
- If the correlation between A and B is 1/3, what is the standard deviation of the investor's portfolio?
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Derivatives Markets
Authors: Robert McDonald
3rd Edition
978-9332536746, 9789332536746
