Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .092, E(RB) = 152, OA = .362, and og = .622. Calculate the expected return of a portfolio that is composed of 37 percent A and а-1. 63 percent B when the correlation between the returns on A and B is .52. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio that is composed of 37 percent A and 63 percent B when the correlation coefficient between the returns on A and B is .52. а-2. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) 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 -.52. (Do b. not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) =
.092, E(RB) = 152, OA = .362, and og = .622.
Calculate the expected return of a portfolio that is composed of 37 percent A and
а-1.
63 percent B when the correlation between the returns on A and B is .52. (Do not
round intermediate calculations and enter your answer as a percent rounded to 2
decimal places, e.g., 32.16.)
Calculate the standard deviation of a portfolio that is composed of 37 percent A and
63 percent B when the correlation coefficient between the returns on A and B is .52.
а-2.
(Do not round intermediate calculations and enter your answer as a percent
rounded to 2 decimal places, e.g., 32.16.)
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 -.52. (Do
b.
not round intermediate calculations and enter your answer as a percent rounded
to 2 decimal places, e.g., 32.16.)
Transcribed Image Text:Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .092, E(RB) = 152, OA = .362, and og = .622. Calculate the expected return of a portfolio that is composed of 37 percent A and а-1. 63 percent B when the correlation between the returns on A and B is .52. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio that is composed of 37 percent A and 63 percent B when the correlation coefficient between the returns on A and B is .52. а-2. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) 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 -.52. (Do b. not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
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