Answered step by step
Verified Expert Solution
Question
00
1 Approved Answer
You have a three-stock portfolio. Stock A has an expected return of 14 percent and a standard deviation of 39 percent, Stock B has an
| You have a three-stock portfolio. Stock A has an expected return of 14 percent and a standard deviation of 39 percent, Stock B has an expected return of 18 percent and a standard deviation of 44 percent, and Stock C has an expected return of 13 percent and a standard deviation of 44 percent. The correlation between Stocks A and B is .07, between Stocks A and C is .20, and between Stocks B and C is .10. Your portfolio consists of 45 percent Stock A, 25 percent Stock B, and 30 percent Stock C. Calculate the expected return and standard deviation of your portfolio. The formula for calculating the variance of a three-stock portfolio is: (Round your answer to 2 decimal places. Omit the "%" sign in your response.) |
p2 = xA2 A2 + xB2 B2 + xC2 C2+ 2xAxBABCorr(RA,RB) + 2xAxCACCorr(RA,RC) + 2xBxCBCCorr(RB,RC)
| Expected return | % |
| Standard deviation | % |
p2 = xA2 A2 + xB2 B2 + xC2 C2+ 2xAxBABCorr(RA,RB) + 2xAxCACCorr(RA,RC) + 2xBxCBCCorr(RB,RC)
| Expected return | % |
| Standard deviation | % |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started