Consider two assets (1 & 2) with the following information: E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %, If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s expected return and risk if the correlation between the return on assets 1 and 2 is -0.20?

Consider two assets (1 & 2) with the following information: E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %, If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s expected return and risk if the correlation between the return on assets 1 and 2 is -0.20?

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 9PROB

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Consider two assets (1 & 2) with the following information:
E (R1) = 10 %, σ1 = 10 %, E (R2) = 12 %, σ2 = 18 %,

If a portfolio consists of 55-45 weights in assets 1 and 2 respectively, what is portfolio’s
expected return and risk if the correlation between the return on assets 1 and 2 is -0.20?

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