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Q2 A portfolio consists of two stocks, the expected returns and standard deviations of returns of each assest are listed in the table below: Stock

A portfolio consists of two stocks, the expected returns and standard deviations of returns of each assest are listed in the table below:

Stock A

Stock B

Expected return

10%

Standard deviation

16%

20%

Calculate:

(a) The correlation coefficient for the two-asset portfolio, assuming that the covariance is 0.0032.

(b) The standard deviation of the portfolio made of stock A and B, assuming 30% is invested in stock A

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