YOU ARE GIVEN THE INFORMATION BELOW: 1.2.1: Expected Portfolio Return for each of the six years
Year Asset X Asset Y Exp. Port. Return
2015	(0.4 x 0.14) = 0.056	(0.6 x 0.2) = 0.12	(0.056 x 0.12) = 17.6%
2016	(0.4 x 0.14) = 0.056	(0.6 x 0.18) = 0.108	(0.056 x 0.108) = 16.4%
2017	(0.4 x 0.16) = 0.064	(0.6 x 0.16) = 0.096	(0.064 x 0.096) = 16%
2018	(0.4 x 0.17) = 0.068	(0.6 x 0.14) = 0.084	(0.068 x 0.084) = 15.2%
2019	(0.4 x 0.17) = 0.068	(0.6 x 0.12) = 0.072	(0.068 x 0.072) = 14%
2020	(0.4 x 0.18) = 0.076	(0.6 x 0.1) = 0.06	(0.076 x 0.06) = 13.6%
1.2.2: The expected value of the portfolio returns over the 6-year period.
=17.6% + 16.4% + 16% + 15.2% + 14% + 13.6% = 92.8 = 15.47% 6 years 6
1.2.3: The standard deviation of expected portfolio returns over the 6-year period.
= (17.6 15.47)2 + (16.4 15.47)2 + (16 15.47)2 + (15.2 15.47)2 + (14 15.47)2 +
(13.6 15.47)2
= 4.5369 + 0.8649 + 0.2809 + 0.0729 +2.1609 + 3.4969
= 11.4134
6
= = 1.3792 REQUIRED: WITH THE ABOVE INFORMATION: a) Critique the efficient market hypothesis (EMH) assumptions with regards to the investors rationality and the absence of arbitrage opportunities. Provide relevant examples to substantiate your arguments. (10 Marks)