Question

The expected return of ABC is 18 percent, and the expected return of DEF is 23 percent. Their standard deviations are 12 percent and 20 percent, respectively. If a portfolio is composed of 35 percent ABC and the remainder DEF, calculate the expected return and the standard deviation of the portfolio, given a correlation coefficient between ABC and DEF of 0.35. Calculate the standard deviation if the correlation coefficient is −0.35.



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  • CreatedFebruary 25, 2015
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