Question
You want to form 2-asset portfolio using WMT and PII stocks. Based on the results of Excel Assignment 3, the expected (average) annual return of
You want to form 2-asset portfolio using WMT and PII stocks. Based on the results of Excel Assignment 3, the expected (average) annual return of WMT and PII are 13.36% and 19.22% and annualized standard deviations for WMT and PII are 16.89% and 37.73%, respectively. The correlation between the returns of WMT and PII is 0.16344.
Form 11 portfolios, using portfolio weights on PII of 0%, 10%, 20%, ..., 90%, 100% (hint: a weight of 80% on PII corresponds to a weight of 20% on WMT).
For each portfolio, report the expected return and standard deviation.
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