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Expected return and standard deviation of portfolios

Security A Security B
Pa Ra Pb Rb
0.1 -10% 0.1 -30%
0.2 5% 0.2 0
0.4 15% 0.4 20
0.2 25 % 0.2 40
0.1 40% 0.1 70

ra=? rb= 20.0%
standard deviation=? standard deviation= 25.7%

a. The expected return for security rb= 20% and standard deviation- 25.7%. Find expected return and standard deviation for security A
b. find the value of wa that produces the minimum risk portfolio. Assume pab= -0.5 for parts b and c

c. Construct a table giving expected returns and standard deviations for portfolios with wa= 1.00, 0.75, 0.50, 0.25, 0.0 and the minimum risk value of A.

D. Graph the feasible set of portfolios and identify the efficient frontier of the feasible set.

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Can you please provide the answers on an excel sheet using the formulas that are needed to answer these questions.

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Solution Summary

Answers questions dealing with expected return and standard deviation for security and portfolio, minimum risk portfolio, efficient frontier of the feasible set etc.

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