Suppose Asset A has an expected return of 10 percent and a standard deviation of 10 percent. Asset B has an expected return of 20 percent and a standard deviation of 20 percent. If the correlation between A and B is (- 1), what are the expected return and standard deviation for a portfolio comprised of 40 percent Asset A and 60 percent Asset B?
Suppose Asset A has an expected return of 10 percent and a standard deviation of 10 percent. Asset B has an expected return of 20 percent and a standard deviation of 20 percent. If the correlation between A and B is (- 1), what are the expected return and standard deviation for a portfolio comprised of 40 percent Asset A and 60 percent Asset B?
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
Section: Chapter Questions
Problem 1PS
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Suppose Asset A has an expected return of 10 percent and a standard deviation of 10 percent. Asset B has an expected return of 20 percent and a standard deviation of 20 percent. If the correlation between A and B is (- 1), what are the expected return and standard deviation for a portfolio comprised of 40 percent Asset A and 60 percent Asset B?
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