A hedge fund has created a portfolio using just two stocks. It has shorted $36,000,000 worth of Oracle stock and has purchased $95,000,000 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’s portfolio?

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Oracle Intel Expected Return 12.38% 14.42% Standard Deviation 46.28% 38.61%