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thanks in advance for answering QUESTION 3 (20 MARKS) The following data has been provided concerning three securities in a portfolio. Security X Security Y
thanks in advance for answering
QUESTION 3 (20 MARKS) The following data has been provided concerning three securities in a portfolio. Security X Security Y Security Z Expected Return Standard Deviation Proportion of Investment 45% 15% 60% 50% 20% 25% 25% 10% 15% Correlation Coefficient between XY is 0.75 Correlation Coefficient between XZ is 0.35 Correlation coefficient between YZ is -0.65 REQUIRED (a) Calculate the expected return of the portfolio. (5 marks) Calculate the risk or standard deviation of the portfolio. (10 marks) (c) Explain what happen to the risk of a portfolio with securities which has correlation coefficient zero. Support your answer with appropriate examples. (5 marks) Page 3 of 5Step by Step Solution
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