Problem 11 27 Portfolio Standard Deviation Security F has an expected return of 11 40 percent and a standard deviation of 44 40 percent per year Security G has an expected return of 16 40 percent and a standard deviation of 63 40 percent per year a What is the expected return on a portfolio composed of 26 percent of Security F and 74 percent of Security G (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e g , 32 16 ) Expected return b If the correlation between the returns of Security F and Security G is 21, what is the standard deviation of the portfolio described in part (a) (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e g , 32 16 ) Standard deviation

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Question: Problem 11-27 Portfolio Standard Deviation Security F has an expected return of 11.40 percent and a standard deviation of 44.40 percent per year. Security G

Problem 11-27 Portfolio Standard Deviation

Security F has an expected return of 11.40 percent and a standard deviation of 44.40 percent per year. Security G has an expected return of 16.40 percent and a standard deviation of 63.40 percent per year.

a.	What is the expected return on a portfolio composed of 26 percent of Security F and 74 percent of Security G? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Expected return

b.	If the correlation between the returns of Security F and Security G is .21, what is the standard deviation of the portfolio described in part (a)? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Standard deviation

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