Suppose that you are given the following information about an asset: Asset Expected Return Expected Standard...

Suppose that you are given the following information about an asset:

Asset	Expected Return	Expected Standard Deviation
X	.1	.04
Y	.15	.08
Z	.2	.09

(10 points) If you invested 50% of your portfolio in X and 50% in Y, what would be the expected return and standard deviation of the portfolio if the correlation coefficient between X and Y is .5?
(10 points) If you invested 50% of your portfolio in X and 50% in Z, what would be the expected return and expected standard deviation of the portfolio if the correlation coefficient between X and Z is .3?
(20 points) Suppose the correlation coefficient between Y and Z is .2. If you took 50% of your portfolio and invested it in the portfolio you formed in an above and 50% of your portfolio and invested it in the portfolio you formed in b above, what would be the expected return and expected standard deviation of the new portfolio?

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jeff jeffy answered 1 year ago

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