Question: 2. The following table provides information on the expected return, standard deviation and correlation matrix of three securities: Coke, IBM, and Bose. Bose Coke IBM

2. The following table provides information on the expected return, standard

2. The following table provides information on the expected return, standard deviation and correlation matrix of three securities: Coke, IBM, and Bose. Bose Coke IBM Bose Correlation matrix Coke IBM 1 0 1 0.1 0.4 Expected return and volatility E(R) SD(R) Coke 8.4% 15% IBM 14% 30% Bose 11.6% 25% 1 It is also known that the expected return of the market is 10% and its standard deviation is 8%. A. (8 points) If an investor decides to buy $1000 of Coke, $500 of IBM, and short $500 of Bose, what is the expected return and volatility of his portfolio

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