Question

Security F has an expected return of 10 percent and a standard deviation of 26 percent per year. Security G has an expected return of 17 percent and a standard deviation of 58 percent per year.
a. What is the expected return on a portfolio composed of 30 percent of security F and 70 percent of security G?
b. If the correlation between the returns of security F and security G is 0.25, what is the standard deviation of the portfolio described in (a)?


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  • CreatedJune 17, 2015
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