Question
You are considering two risky assets to form your portfolio. The expected rate of returns, standard deviations and correlation between two assets are given below:
You are considering two risky assets to form your portfolio. The expected rate of returns, standard deviations and correlation between two assets are given below:
E(R-Asset A)= 7%, Standard Deviation- Asset A= 12%;
E(R-Asset B)= 12%, Standard Deviation- Asset B= 18%;
Correlation between two assets is 0.3.
Please answer the following questions:
(1) If you invest $4,800 in Asset A and $5,200 in Asset B, what is the weight in Asset A?(Please input your answer to the second decimal, e.g. 0.00)
(2) If you invest $4,800 in Asset A and $5,200 in Asset B, what is the weight in Asset B?(Please input your answer to the second decimal, e.g. 0.00)
(3) If you invest $4,800 in Asset A and $5,200 in Asset B, what is the expected rate of return for your portfolio?(Please round your answer to the fourth decimal, e.g. 0.0000)
(4) If you invest $4,800 in Asset A and $5,200 in Asset B, what is the standard deviation for your portfolio?
(Please round your answer to the fourth decimal, e.g. 0.0000)
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