Two securities have the following characteristics: E(R) =.06 E(R) =.08 a = .04 % = .10...

  

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Two securities have the following characteristics: E(R₂) =.06 E(R₂) =.08 a = .04 % = .10 1A) (15 points) Fill in the missing cells (A through O) in the table. For each of two correlation cases, corr. = -1 and corr. = 0, calculate the attainable portfolios' mean and standard deviation from combining the two assets together using weights in increments of 25% from 1 to 0. Also, calculate the minimum risk portfolio's weights, mean and standard deviation for the correlation= 0 case (for the case of the correlation = -1, I have already calculated the weights for you!). Assume that the risk free rate is .04. Hint: in some of the cases, filling in the cells requires no calculations. Note, throughout this problem, returns are in decimal form, i.e.. 1%-0.01. Weight in A 1.0 0.75 0.50 0.25 0.0 Minimum risk portfolio for corr-0 C) Minimum risk portfolio for corr=-1 0.7143 Weight in B 0.0 D) 0.25 0.50 0.75 1.0 0.2857 NA not applicable = A) B) E(R₂) 0.06 0.07 0.075 Corr=0 0.06275 ΝΑ Op E) 0.03905 0.05385 F) 0.10 G) ΝΑ H) I) J) K) L) E(Rp) ΝΑ 0.0657 Corr= -1 M) N) op 0.005 0.065 0.10 ΝΑ Two securities have the following characteristics: E(R₂) =.06 E(R₂) =.08 a = .04 % = .10 1A) (15 points) Fill in the missing cells (A through O) in the table. For each of two correlation cases, corr. = -1 and corr. = 0, calculate the attainable portfolios' mean and standard deviation from combining the two assets together using weights in increments of 25% from 1 to 0. Also, calculate the minimum risk portfolio's weights, mean and standard deviation for the correlation= 0 case (for the case of the correlation = -1, I have already calculated the weights for you!). Assume that the risk free rate is .04. Hint: in some of the cases, filling in the cells requires no calculations. Note, throughout this problem, returns are in decimal form, i.e.. 1%-0.01. Two securities have the following characteristics: E(R₂) =.06 E(R₂) =.08 a = .04 % = .10 1A) (15 points) Fill in the missing cells (A through O) in the table. For each of two correlation cases, corr. = -1 and corr. = 0, calculate the attainable portfolios' mean and standard deviation from combining the two assets together using weights in increments of 25% from 1 to 0. Also, calculate the minimum risk portfolio's weights, mean and standard deviation for the correlation= 0 case (for the case of the correlation = -1, I have already calculated the weights for you!). Assume that the risk free rate is .04. Hint: in some of the cases, filling in the cells requires no calculations. Note, throughout this problem, returns are in decimal form, i.e.. 1%-0.01. Weight in A 1.0 0.75 0.50 0.25 0.0 Minimum risk portfolio for corr-0 C) Minimum risk portfolio for corr=-1 0.7143 Weight in B 0.0 D) 0.25 0.50 0.75 1.0 0.2857 NA not applicable = A) B) E(R₂) 0.06 0.07 0.075 Corr=0 0.06275 ΝΑ Op E) 0.03905 0.05385 F) 0.10 G) ΝΑ H) I) J) K) L) E(Rp) ΝΑ 0.0657 Corr= -1 M) N) op 0.005 0.065 0.10 ΝΑ Weight in A 1.0 0.75 0.50 0.25 0.0 Minimum risk portfolio for corr-0 C) Minimum risk portfolio for corr=-1 0.7143 Weight in B 0.0 D) 0.25 0.50 0.75 1.0 0.2857 NA not applicable = A) B) E(R₂) 0.06 0.07 0.075 Corr=0 0.06275 ΝΑ Op E) 0.03905 0.05385 F) 0.10 G) ΝΑ H) I) J) K) L) E(Rp) ΝΑ 0.0657 Corr= -1 M) N) op 0.005 0.065 0.10 ΝΑ

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To fill in the missing cells in the table we can follow these steps 1 For the correlation case of ... View the full answer