Question: C. Problem (12 marks) You are looking at two risky assets, the expected returns, standard deviations, and correlation between the two assets are given below:

C. Problem (12 marks) You are looking at two risky assets,

C. Problem (12 marks) You are looking at two risky assets, the expected returns, standard deviations, and correlation between the two assets are given below: E(RA) = 7%, Standard deviation = 12% E(RB) = 12%, Standard deviation = 18% Correlation between the two assets is 1.0 1. Which asset has more risk? 2. If you put 50% of your wealth in asset A and the other 50% in asset B, what is the expected return and the standard deviation of your portfolio

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