In a perfect world where asset return is normally distributed. We have risk and return characteristics of following assets below: Assets ABC DEF Market portfolio Expected Return 10% 15% 5% Standard Deviation 20% 40% 10% Correlation coefficient with market 0.6 0.2 1 Weight 60% 40% 0% If market return increase by 5% this month, what is the change in expected portfolio return of the same month in PERCENTAGE?

In a perfect world where asset return is normally distributed. We have risk and return characteristics of following assets below: Assets ABC DEF Market portfolio Expected Return 10% 15% 5% Standard Deviation 20% 40% 10% Correlation coefficient with market 0.6 0.2 1 Weight 60% 40% 0% If market return increase by 5% this month, what is the change in expected portfolio return of the same month in PERCENTAGE?

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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In a perfect world where asset return is normally distributed. We have risk and return characteristics of following assets below: Assets ABC DEF Market portfolio Expected Return 10% 15% 5% Standard Deviation 20% 40% 10% Correlation coefficient with market 0.6 0.2 1 Weight 60% 40% 0% If market return increase by 5% this month, what is the change in expected portfolio return of the same month in PERCENTAGE? Any intermediate steps should be rounded to 4 or more decimal places. Round your final answer in percentage to 2 decimal places and exclude the % sign. For example, 20.1234% should be input as 20.12.
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