Calculate the expected return, variance and standard deviation of a two-asset portfolio.

A portfolio is invested 40% in Asset 1 and 60% in Asset 2.

  

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.2 .2 Asset 1: expected return, E (R₁) = 3, variance, o² = var(R₁) = 1.5 Asset 2: expected return, E (R₂) = 5, variance, o² = var(R₁) = 4.2 The correlation coefficient between Asset 1 and 2, r² = corr(R₁, R₂) = 0.7 .2 .2 Asset 1: expected return, E (R₁) = 3, variance, o² = var(R₁) = 1.5 Asset 2: expected return, E (R₂) = 5, variance, o² = var(R₁) = 4.2 The correlation coefficient between Asset 1 and 2, r² = corr(R₁, R₂) = 0.7

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To calculate the expected return variance and standard deviation of a twoasset portfolio we can use the following formulas Expected Return of a Portfo... View the full answer