Question: Exhibit 6.10 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Asset (A) Asset (B) E(R A ) = 16% E(R B ) = 14% (

Exhibit 6.10

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Asset (A)

Asset (B)

E(RA) = 16%

E(RB) = 14%

(A) = 3%

(B) = 8%

WA = 0.5

WB = 0.5

COVA,B = 0.0014

Refer to Exhibit 6.10. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation ( i ), covariance (COVi,j), and asset weight (Wi) are as shown above?

a.

14%
b.

12%
c.

13%
d.

15%
e.

11%

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