Variance | =( w2A*σ2(RA) + w2B*σ2(RB) + 2*(wA)*(wB)*Cor(RA, RB)*σ(RA)*σ(RB)) |
Variance | =0.3^2*0.03^2+0.7^2*0.05^2+2*0.3*0.7*0.03*0.05*0.4 |
Variance | 0.00156 |
Standard deviation= | (variance)^0.5 |
Standard deviation= | 3.95% = 0.0395 |
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard...
Asset 1 has 6% expected return and 5% standard deviation.Asset 2 has 12% expected return and 10% standard deviation A. If the correlation coefficient is less than one, then no portfolio obtained by combining assets 1 and 2 can have an expected return larger than 6%. B. If the correlation coefficient is equal to one, then no portfolio obtained by combining assets 1 and 2 can have a standard deviation lower than 5%. C. If the correlation coefficient is less...
Expected Return of Asset 1 = 15.00% Standard Deviation of Asset 1 = 17.00% Expected Return of Asset 2 = 9.75% Standard Deviation of Asset 2 = 8.88% The correlation coefficient1,2 = 0.45 A portfolio invested 50% in Asset 1 and 50% in Asset 2 is formed. Compute the portfolio's expected return. Select one: a. 11.22% b. 4.71% c. 12.38% d. 9.09% e. 27.20%
Consider the following data about the expected returns, standard deviations, and correlation between two assets: Asset 1 Asset 2 Expected return 5.3% 6.8% Standard deviation 4.5% 7.8% Correlation coefficient -0.6 Calculate the expected return and standard deviation of a portfolio consisting of a 20% weight in asset 1 and an 80% weight in asset 2. What happens to the expected return and standard deviation of the portfolio when the weight combination changes to 50% in asset 1 and 50% in...
Asset K has an expected return of 10 percent and a standard deviation of 28 percent. Asset L has an expected return of 7 percent and a standard deviation of 18 percent. The correlation between the assets is 0.40. What are the expected return and standard deviation of the minimum variance portfolio?
asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. the correlation between the two assets is -1.0. portfolios of these two assets will have a standard deviation of what?
Assume an investment manager is considering to invest in a portfolio composed of Stock (A) and Stock (B). Stock (A) has an expected return of 10% and a Variance of 100 (Standard Deviation=10), while Stock (B) has an expected return of 20% and a Variance of 900 (Standard deviation=30).1- Calculate the expected return and variance of the portfolio if the proportion invested in Sock (A) is (0, .2, .3,.5. .6,.7,1) .The Correlation Coefficient is .4.2- If the Correlation Coefficient is...
Suppose there are three assets: A, B, and C. Asset A’s expected return and standard deviation are 1 percent and 1 percent. Asset B has the same expected return and standard deviation as Asset A. However, the correlation coefficient of Assets A and B is −0.25. Asset C’s return is independent of the other two assets. The expected return and standard deviation of Asset C are 0.5 percent and 1 percent. (a) Find a portfolio of the three assets that...
49 | Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. The correlation between the two assets is -1.0. Portfolios of these two assets will have a standard deviation between 0% and 20% between 20% and 30% between 0% and 30% O below 10%
Consider a portfolio consisting of the following two risky assets. Asset i Hi, Return on Asset i 7% 7% 0, Risk in Asset i 18% 14% The coefficient of correlation between the returns is p = -100%. (a) State the expected return and associated risk (as measured by the standard deviation) in terms of w if w is the weight allocation of Asset 1 in the portfolio. Hry (w) = 0.07 Or, (w) = sqrt(0.0632w^2-0.C (b) Suppose that the portfolio...
No 3. Consider three securities: Asset I with expected return of 14% and standard deviation of return of 6%, Asset 2 with average return of 8% and standard deviation of returns of 3%, and Asset 3 with mean return of 20% and standard deviation of return of 15%. Further, assume that the correlation coefficient between Asset 1 and Asset 2 is 0.5, between Asset 1 and Asset 3 is 0.2, and between Asset 2 and Asset 3 is 0.4. Finally,...