Problem

Portfolio Standard Deviation Security F has an expected return of 10 percent and a s...

Portfolio Standard Deviation Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year.

a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G ?

b. If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?

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