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The expected return and standard deviation of asset A is 8.85% and 11.5%, respectively. Similar numbers for asset B are 4.28% and 7.86%. Using these
The expected return and standard deviation of asset A is 8.85% and 11.5%, respectively. Similar numbers for asset B are 4.28% and 7.86%. Using these two assets, you want to create a portfolio. Consider the two situations: (a) using 30% of A and 70% of B and assuming the correlation coefficient to be 0.55; (b) using 60% of A and 40% of B and assuming the correlation coefficient to be -0.15. In each case, calculate the portfolios expected return and standard deviation.
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