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.

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

Solutions

Expert Solution

jeff jeffy answered 1 year ago

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