Question: Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and B are E( R A ) = .086, E(

Problem 11-28 Portfolio Standard Deviation

Suppose the expected returns and standard deviations of Stocks A and B are E(R_A) = .086, E(R_B) = .146, _A = .356, and _B = .616.

a-1.

Calculate the expected return of a portfolio that is composed of 31 percent A and 69 percent B when the correlation between the returns on A and B is .46. (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

Expected return

a-2.

Calculate the standard deviation of a portfolio that is composed of 31 percent A and 69 percent B when the correlation between the returns on A and B is .46. (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

Standard deviation

b.	Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is .46. (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

Standard deviation

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