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Correct answers:

Two Asset Portfolio

Expected Return for A: 5.05%

Standard Deviation for A: 1.91%

Expected Return for B: 7.7%

Standard Deviation for B: 5.19%

Covariance between A and B: -7.4351

Portfolio Expected Return: 6.91%

Portfolio Standard Deviation: 3.22%

Correlation between A and B: -0.75

Two Asset Portfolio Use the following information to calculate the statistics below State of Nature Probability Return on Investment Return on Investment 0.35 5 I III 0. 40 0.25 3% % 8% 9% 12% -1% a. What is the expected return for Investment A? b. What is the standard deviation for Investment A? c. What is the expected return for Investment B? f. What is the expected return for a portfolio consisting of 30% Investment A and 70% Investment B by market value? g. What is the standard deviation of a portfolio consisting of 30% Investment A and 70% Investment B by market value? h. What is the correlation between returns of Investment A and Investment B