Suppose that you are given the following information about an asset Asset Expected Return Expected Standard Deviation X 1 04 Y 15 08 Z 2 09 (10 points) If you invested 50 of your portfolio in X and 50 in Y, what would be the expected return and standard deviation of the portfolio if the correlation coefficient between X and Y is 5 (10 points) If you invested 50 of your portfolio in X and 50 in Z, what would be the expected return and expected standard deviation of the portfolio if the correlation coefficient between X and Z is 3 (20 points) Suppose the correlation coefficient between Y and Z is 2 If you took 50 of your portfolio and invested it in the portfolio you formed in an above and 50 of your portfolio and invested it in the portfolio you formed in b above, what would be the expected return and expected standard deviation of the new portfolio

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Posted on Oct 07, 2024

Asset	Expected Return	Expected Standard Deviation
X	.1	.04
Y	.15	.08
Z	.2	.09

(10 points) If you invested 50% of your portfolio in X and 50% in Y, what would be the expected return and standard deviation of the portfolio if the correlation coefficient between X and Y is .5?
(10 points) If you invested 50% of your portfolio in X and 50% in Z, what would be the expected return and expected standard deviation of the portfolio if the correlation coefficient between X and Z is .3?
(20 points) Suppose the correlation coefficient between Y and Z is .2. If you took 50% of your portfolio and invested it in the portfolio you formed in an above and 50% of your portfolio and invested it in the portfolio you formed in b above, what would be the expected return and expected standard deviation of the new portfolio?