Problem 11-27 Portfolio Standard Deviation

Security F has an expected return of 11.40 percent and a standard deviation of 44.40 percent per year. Security G has an expected return of 16.40 percent and a standard deviation of 63.40 percent per year.

a.	What is the expected return on a portfolio composed of 26 percent of Security F and 74 percent of Security G? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Expected return

%

b.	If the correlation between the returns of Security F and Security G is .21, what is the standard deviation of the portfolio described in part (a)? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Standard deviation

%