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The (annual) expected return and standard deviation of returns for 2 assets are as follows: Asset A : E[r] 10% , SD[r] 30% Asset B
The (annual) expected return and standard deviation of returns for 2 assets are as follows:
Asset A : E[r] 10% , SD[r] 30%
Asset B : E[r] 20% , SD[r] 50%
The correlation between the returns is 0.15
a. Calculate the expected returns and standard deviations of the following portfolios:
i) 80% in A, 20% in B
ii) 50% in A, 50% in B
iii) 20% in A, 80% in B
b. Find the weights for a portfolio with an expected return of 25%? What is the standard deviation of this portfolio?
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