Question

Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .088, E(RB) = .148, σA = .358, and σB = .618.

Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .088, E(RB) = .148, 0A = .358, and 0B = .618. a-1. Calculate the expected return of a portfolio that is composed of 33 percent A and 67 percent B when the correlation between the returns on A and B is .48. (Do not round intermediate calculations. Enter your answer as a percent rounded to decimal places, e.g., 32.16.) Expected return 12.82 % a-2. Calculate the standard deviation of a portfolio that is composed of 33 percent A and 67 percent B when the correlation coefficient between the returns on A and B is .48. (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Standard deviation 0 % b. Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is -.48. (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places (e.g., 32.16).) Standard deviation

Answer 1

9-1) ECRA) - 0.088 FORB) = 0.148 GA 3 0.358 B = 0.618 babected Return of Postfolio - WAX ECRA) - 't W2 X ECRB) = (0.33 X 020887(0.67 X 0.148) = De 0.09904 +0.09916 = 0,1282. or 12-8270 + 2-4 ملطمقلعصملمثمععهههعملك ويمك2ئط - WAWRTAR 10.33+0.355.+ (0.63CA_4199 + 2X0.33XD: 67 x0,618X0.358 X0.48 2 0. 0139570596 + 0.17144568+0.04696037 = 0.239363) = 0.48 20403 or 148.207

| |(0-333°(0.358) + (O. Choic15) + 2x0.33x0.62 15x0.358048) 0.0139570596 +012 | 4456500,6५८१८632 1384423696 - 80.37207 07270217-