Question
What is the expected return on a portfolio of two risky assets if the expected return E(R i ), the standard deviation ( i ),
What is the expected return on a portfolio of two risky assets if the expected return E(R i ), the standard deviation (σ i ), the covariance (COV i,j ) and the asset weight (W i ) are as is shown above?
Figure 7.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEMS
Active (A) | Active (B) |
E( RA ) = 10% | E( RB ) = 15% |
(s A ) = 8% | (s B ) = 9.5% |
WA = 0,25 | W B = 0,75 |
The A,B = 0,006 |
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Corporate Finance Core Principles And Applications
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
6th Edition
1260571122, 978-1260571127
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