Question: Assume that the correlation coefficient between returns on X and Y is 0.2. What is the expected return of a portfolio with 60% in Asset

Assume that the correlation coefficient between returns on X and Y is 0.2.

What is the expected return of a portfolio with 60% in Asset X and 40% in Asset Y?

E(r)

Standard Deviation

Risk-free Asset

4%

Asset X

10%

20%

Asset Y

6%

30%

Question 10 options:

8.4%

7.6%

8%

9.2%

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