Question
There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return 11%, standard deviation 12%, correlation with asset 1 is
There are 2 assets.
Asset 1: Expected return 7.5%, standard deviation 9%
Asset 2: Expected return 11%, standard deviation 12%, correlation with asset 1 is 0.4
You hold 30% of your portfolio in asset 1 and 70% in asset 2.
a) What is the expected return of your portfolio?
b) What is the covariance between assets 1 and 2?
c) What is the standard deviation of your portfolio?
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
To calculate the expected return covariance and standard deviation of the portfolio we can use the f...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
