You have two assets to choose from for your portfolio: A and B. You choose 25% A and 75% B. The statistics of the two assets are:
• E(rA ) = 7%, E(rB ) = 12%
• σ2A = 0.0016, σ2B = 0.0049

Compute the expected return and variance of your portfolio under each of the following assumptions:
• 1. ρAB = 0.5
• 2. ρAB = 0.0
• 3. ρAB = -0.5

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To compute the expected return and variance of your portfolio under different assumptions for the co... View the full answer