Portfolio 1 consists of two risky assets A and B with the following characteristics E(rA) =...
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Portfolio 1 consists of two risky assets A and B with the following characteristics E(rA) = 18%, E(rB) = 17%, σA = 18% GB = 15%, σAB = cov(rA, rB) = 15% The weight of the risky portfolio A = 0.80. Portfolio 2 consists of two risky assets C and D with the following characteristics E(rC) = 19%, E(rD) = 16%, oC = 15%, D = 18%, o CD = cov(rC, rD) = 30% The weight of the risky portfolio XC = 0.20. Answer the following questions. 1. Compute the expected return of Portfolio 1 and Portfolio 2 2. Compute the variance of Portfolio 1 and Portfolio 2 3. Which portfolio is better? Portfolio 1 consists of two risky assets A and B with the following characteristics E(rA) = 18%, E(rB) = 17%, σA = 18% GB = 15%, σAB = cov(rA, rB) = 15% The weight of the risky portfolio A = 0.80. Portfolio 2 consists of two risky assets C and D with the following characteristics E(rC) = 19%, E(rD) = 16%, oC = 15%, D = 18%, o CD = cov(rC, rD) = 30% The weight of the risky portfolio XC = 0.20. Answer the following questions. 1. Compute the expected return of Portfolio 1 and Portfolio 2 2. Compute the variance of Portfolio 1 and Portfolio 2 3. Which portfolio is better?
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1 Expected return of Portfolio 1 Erp1 A ErA 1 A ErB Erp1 080 18 020 17 Erp1 178 Expected return of P... View the full answer
Related Book For
Modeling the Dynamics of Life Calculus and Probability for Life Scientists
ISBN: 978-0840064189
3rd edition
Authors: Frederick R. Adler
Posted Date:
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