As an investor, you decide to hold a portfolio with 60% invested in a European green bond
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Question:
As an investor, you decide to hold a portfolio with 60% invested in a European green bond fund and 40% in a European renewable energy equity fund. The expected return is 2.50% for the bond fund and 9.25% for the equity fund. The expected standard deviation is 7.50% for the bond fund and 24.50% for the equity fund.
a) What will be the portfolio’s expected return and risk given that the correlation between the bond and equity fund is expected to be -0.10? (express the portfolio risk as its standard deviation)
b) Compare the risk-adjusted return of the portfolio and the individual funds, and comment on the reason for the differences.
answer a and b please
Related Book For
Financial Analysis with Microsoft Excel
ISBN: 978-1285432274
7th edition
Authors: Timothy R. Mayes, Todd M. Shank
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