Question: A portfolio includes two assets. Asset A has a risk of 20% and a return of 10%. Asset A takes 75% of the portfolio market

  • A portfolio includes two assets. Asset A has a risk of 20% and a return of 10%. Asset A takes 75% of the portfolio market value. Asset B has a risk of 10% and a return of 5%. The correlation coefficient of their returns is 0.5.
  • (10 points) What are the total risk and the return of the portfolio?
  • (10 points) What if Asset A takes 120% (instead of 75%) of the portfolio market value?

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