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The client (currently holding a portfolio for $1,000,000 with a Hp = 10.72% and a op = 15.86%) is seeking your advice whether to
The client (currently holding a portfolio for $1,000,000 with a Hp = 10.72% and a op = 15.86%) is seeking your advice whether to invest $250,000 in Fund A or Fund B having the following properties: Expected Expected Annual Correlation Annual Return Standard Deviation with Current Portfolio Fund A 16% 23% 0.4 Fund B 12% 18% 0.6 What would be the new portfolio's expected return (up) and expected standard deviation (ap) if the $250,000 were invested in Fund A? Hp = 12%, p = 15.12% = Hp 11.78%, op 15.12% Hp = 12%, p = 15.32% Hp 11.78%, p= 15.32%
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