Expected return and standard deviation for a portfolio
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4.
Asset 1 Asset 2
E(R1) = .12 E(R2) = .16
E(s1) = .04 E(s2) = .06
a. Calculate the expected return and expected standard deviation of a two stock portfolio when r1,2 = - .60 and w1 = .75.
b. Calculate the expected returns and expected standard deviations of a two stock portfolio when r1,2 = .80 and w1 = .60.
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See the attached file.
Asset 1 Asset 2
E(R1) = .12 E(R2) = .16
E(s1) = .04 E(s2) = .06
a. Calculate the expected return and expected standard deviation of a two stock portfolio when r1,2 = - .60 and w1 = .75.
Stock Portfolio Share (w) Expected return ( r ) Standard deviation (s) Correlation (rho)
A (Asset 1) 0.75 0.12 0.04 -0.6
B ...
Solution Summary
The expert calculates the expected return and standard deviation for a two stock portfolio.
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