A Palestinian investor decides to hold a portfolio with 80% invested in the S&P 500 stock index and 20% in the MSCI market index. The expected return is 9.93% for the S&P 500 and 18.20% for MSCI index. The risk (SD) is 16.21% for the S&P 500 and 33.11% for the MSCI. What will be the portfolio expected return and risk given that the covariance between the S&P 500 and MSCI is 0.5 precent or 0.0050. The portfolio risk is 14.785% 17.98% 15.10% 16.90%

A Palestinian investor decides to hold a portfolio with 80% invested in the S&P 500 stock index and 20% in the MSCI market index. The expected return is 9.93% for the S&P 500 and 18.20% for MSCI index. The risk (SD) is 16.21% for the S&P 500 and 33.11% for the MSCI. What will be the portfolio expected return and risk given that the covariance between the S&P 500 and MSCI is 0.5 precent or 0.0050. The portfolio risk is 14.785% 17.98% 15.10% 16.90%

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 4P: An analyst has modeled the stock of a company using the Fama-French three-factor model. The market...

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