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Please do 3C thank you 3. The (annual) expected return and standard deviation of returns for 2 assets are as follows: Asset A Asset B
Please do 3C thank you
3. The (annual) expected return and standard deviation of returns for 2 assets are as follows: Asset A Asset B E[r] 10% 20% SD[r] 30% 50% The correlation between the returns is 0.15. a. Calculate the expected returns and standard deviations of the following portfolios: (i) 80% in A, 20% in B (ii) 50% in A, 50% in B (iii) 20% in A, 80% in B b. Find the weights for a portfolio with an expected return of 25%? What is the standard deviation of this portfolio? c. (Difficult) Find the weights for a portfolio with the same standard deviation as asset A but a higher expected return? (Trial and error may be a viable strategy; however, there is an analytical solution.) What is the expected return of this portfolioStep by Step Solution
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