QUESTION3 Marks Consider two assets having equal weights in the portfolio (W1 = 0.50; W2 =...

QUESTION3

Marks Consider two assets having equal weights in the portfolio (W1 = 0.50; W2 = 0.50) and each asset has a standard deviation of 0.10.

Using the above information, calculate:

(a) the covariance of the portfolio for each of the five cases below.

(b) the standard deviation of the portfolio for each of the five cases below.

(c) Which of these cases guarantees an investor a complete risk-free portfolio?

a. r1,2 = 1.00

b. r1,2 = 0.50

c. r1,2 = 0.00

d. r1,2 = –0.50

e. r1,2 = –1.00

Expert Solution

jeff jeffy answered 2 years ago

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