Question
Security A offers an expected return of 15 percent with a standard deviation of 7percent.SecurityBoffersanexpectedreturnof9percentwithastandarddevia- tion of 4 percent. The correlation between the returns of
Security A offers an expected return of 15 percent with a standard deviation of 7percent.SecurityBoffersanexpectedreturnof9percentwithastandarddevia- tion of 4 percent. The correlation between the returns of A and B is +0.6. If an investor puts one-fourth of his wealth in A and three-fourths in B, what is the expected return and risk (standard deviation) of this portfolio?
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Finance And Financial Intermediation
Authors: Harold L. Cole
1st Edition
0190941707, 978-0190941703
