Question

A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracle’s and Intel’s returns is 0.65. The expected returns and standard deviations of the two stocks are given in the table below:


a. What is the expected return of the hedge fund’s portfolio?
b. What is the standard deviation of the hedge fund’sportfolio?


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  • CreatedAugust 06, 2014
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