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Calculate the variance and standard deviation of the given portfolios.

S&P 500 Japanese
Returns 10% 10%
Standard deviation 10% 14%
Beta 1
Correlation to S&P 500 -0.2

Variance Portfolio Standard Deviation
Invested in US Invested in Foreign US-Japan US-Japan
100% 0%
90% 10%
80% 20%
70% 30%
60% 40%
50% 50%
40% 60%
30% 70%
20% 80%
10% 90%
0% 100%

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Solution Summary

Solution depicts the steps to calculate variance and standard deviation at different levels of investment proportions.

Solution provided by:
Lokesh Jain, MSc
Education
  • BEng (Hons) , Birla Institute of Technology and Science, India
  • MSc (Hons) , Birla Institute of Technology and Science, India
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