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Hand In Assignment 16 Two Asset Feasible Set (Due November 19, 2019) 1. You are going to invest in two assets. A Stock Mutual Fund
Hand In Assignment 16 Two Asset Feasible Set (Due November 19, 2019) 1. You are going to invest in two assets. A Stock Mutual Fund and a Bond Mutual Fund. The expected return and the standard deviation of the two assets are as follows: Expected Return 1.12 .05 Standard Deviation -20 Asset Stock Fund Bond Fund The following table presents several different portfolio options. Complete the table assuming a correlation coefficient of - 4. Portfolio Std Deviation Expected Return Weights Stock Bond 2 .8 2. Plot the portfolios on a chart with standard deviation on the x axis and expected return on the Y axis. You can either plot this by hand or use EXCEL. 3. Mean - Variance dominance occurs when one portfolio has a higher expected return but a lower standard deviation than another portfolio. Compare portfolio 1 to the other portfolios and indicate if there is any mean variance dominance. 4. The following contains monthly returns for stock A and stock B. Ro -01 .09 .12 .05 .03 .09 -03 a. On your calculator, calculate the expected return and standard deviation of both assets. b. On your calculator calculate the correlation coefficient PAB. c. Suppose that you construct a portfolio with weights XA = .3, X3 = .7. What is the mean and standard deviation of the portfolio
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