Calculate the expected return and standard deviation of the portfolio comprising a debt security A and...
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Calculate the expected return and standard deviation of the portfolio comprising a debt security A and an equity security B, where the table below shows the portfolio weightings and the results of market analysis conducted on the security returns. This analysis further shows that the correlation (p) between the two securities is 0.40. Security AB Portfolio Weighting 55% 45% Expected Return 6% 14% Standard Deviation 9% 16% (8 marks) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in part (a) of this question, where it is assumed that a risk-free rate of 3% prevails. From this, calculate the Sharpe ratio of the optimal risky portfolio. Calculate the expected return and standard deviation of the portfolio comprising a debt security A and an equity security B, where the table below shows the portfolio weightings and the results of market analysis conducted on the security returns. This analysis further shows that the correlation (p) between the two securities is 0.40. Security AB Portfolio Weighting 55% 45% Expected Return 6% 14% Standard Deviation 9% 16% (8 marks) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in part (a) of this question, where it is assumed that a risk-free rate of 3% prevails. From this, calculate the Sharpe ratio of the optimal risky portfolio.
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