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In: Finance

Consider the following two assets: Asset A’s expected return is 15% and return standard deviation is...

Consider the following two assets: Asset A’s expected return is 15% and return standard deviation is 20%. Asset B’s expected return is 10% and return standard deviation is 15%. The correlation between assets A and B is 0.5.

(a) w1=0.75, w2=.50, find out expected returns and SD/VARIANCE

(b) Instead of a correlation of 0.5 between assets A and B, consider a correlation of - 0.5 and re-compute the above.

Solutions

Expert Solution

Below are attached solutions for caulating the expected portfolio return and sd/variance.

input vaues are taken from the question and substituted in the formulas to get the solution

jeff jeffy answered 2 years ago
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