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Year Return on security A 2017 10% 2018 12% 2019 14% average return of security a is 12% standard deviation of return for security A
Year | Return on security A |
2017 | 10% |
2018 | 12% |
2019 | 14% |
average return of security a is 12%
standard deviation of return for security A is 2%
Assume that security B has an average return of 16% and a standard deviation of return of 3.3%, and that correlation between security A and security B is -1. Calculate the average return and standard deviation of return for a portfolio 50% invested in security A and 50% invested in security B. Comment on the result.
(22 marks)
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