solution for part ii

The following partial annual information is for shares that are components of the FTSE100 index. The following additional information may also be useful: - The correlation between Share E and Share F is 0.57 - The Beta of Share H is 1,26 - The FTSE100 index has an expected annual return of 8.0% and an annual standard deviation of 12.50% - The current yield on short-term UK Government debt is 2.25% Required (i) Calculate the expected return and standard deviation for a portfolio consisting of 75% in Share E and 25% in Share F. (4 marks) (ii) Calculate the beta for Security G. What is the beta of portfolio consisting of 40% invested in Security G and 60% in Security H? What is the annual expected return of this portfolio