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You are interested in using short selling to increase the possible returns from your portfolio.21 You have short sold $200 of ABC and invested
You are interested in using short selling to increase the possible returns from your portfolio.21 You have short sold $200 of ABC and invested $1,200 in DEF. The following data are available on ABC and DEF: ABC DEF Expected return 3% 15% Standard deviation 7% 35% The correlation between ABC and DEF is 0.4. Calculate the expected return and standard deviation of the portfolio. (Hint: The total invested is $1,000, and while individual weights can be greater than one or less than zero, the sum of the weights must still be one.)
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