Question
You have a portfolio of two mutual funds, A and B, 75% invested in A and 25% in B, as shown in the table below.
You have a portfolio of two mutual funds, A and B, 75% invested in A and 25% in B, as shown in the table below.
| Fund | A E(RA) = 2% | B E(RB) = 12%
|
|
| ||
| Covariance Matrix | ||
| Fund | A | B |
| A | 625 | 120 |
| B | 120 | 196 |
Calculate the expected portfolio return.
(a). Calculate the correlation matrix. Carry out the answers to two decimal places.
(b). Calculate portfolio variance and standard deviation.
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Capital Market Finance
Authors: Patrice Poncet, Roland Portait, Igor Toder
1st Edition
3030845982, 978-3030845988
