Suppose we obtain the following data in dollar terms:

Stock market Return (mean) Risk (SD)

United States 1.26% per month 4.43%

United Kingdom 1.23% per month 5.55%

The correlation coefficient between the two markets is 0.58. Suppose that you invest equally, i.e., 50% each, in the two markets. Determine the expected return and standard deviation risk of the resulting international portfolio.

What is the expected return of the equally weighted portfolio and Standard deviation risk?

a] The expected return of the equally weighted portfolio is:

b] The variance of the portfolio is:

c] The Standard Deviation is:

d] standard deviation of the portfolio