1. A $1 million portfolio has invested $400,000 in fund A and remainder in fund B....

 

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1. A $1 million portfolio has invested $400,000 in fund A and remainder in fund B. The funds have the following characteristics: Stock Expected Return 10% 15% The correlation coefficient between the two funds returns is .60 a. Compute the portfolio expected return. b. Compute the portfolio standard deviation. A B Standard Deviation. 20% 30% c. Fund C is also available with 12% return, 30% standard deviation and a .10 correlation with fund B. Should the portfolio manager replace fund A with fund C? jd 1. A $1 million portfolio has invested $400,000 in fund A and remainder in fund B. The funds have the following characteristics: Stock Expected Return 10% 15% The correlation coefficient between the two funds returns is .60 a. Compute the portfolio expected return. b. Compute the portfolio standard deviation. A B Standard Deviation. 20% 30% c. Fund C is also available with 12% return, 30% standard deviation and a .10 correlation with fund B. Should the portfolio manager replace fund A with fund C? jd