You can form a portfolio of two assets, A and B, whose returns
have the following characteristics:
Expected Return
Standard
Deviation
Correlation
A
8%
30%
.7
B
18
44
a. If you demand an expected return of 15%, what are the
portfolio weights? (Do not round intermediate calculations. Round
your answers to 3 decimal places.)
Stock
Portfolio Weight
A
B
b. What is the portfolio’s standard deviation? (Use decimals,
not percents, in your calculations. Do not round intermediate...