Question: Problem 6-06 Given: E ( R 1 ) = 0.13 E ( R 2 ) = 0.18 E ( 1 ) = 0.04 E (

Problem 6-06

Given:

E(R1) = 0.13
E(R2) = 0.18
E(1) = 0.04
E(2) = 0.06

Calculate the expected returns and expected standard deviations of a two-stock portfolio having a correlation coefficient of 0.75 under the conditions given below. Do not round intermediate calculations. Round your answers to four decimal places.

  1. w1 = 1.00

    Expected return of a two-stock portfolio:

    Expected standard deviation of a two-stock portfolio:

  2. w1 = 0.80

    Expected return of a two-stock portfolio:

    Expected standard deviation of a two-stock portfolio:

  3. w1 = 0.55

    Expected return of a two-stock portfolio:

    Expected standard deviation of a two-stock portfolio:

  4. w1 = 0.30

    Expected return of a two-stock portfolio:

    Expected standard deviation of a two-stock portfolio:

  5. w1 = 0.05

    Expected return of a two-stock portfolio:

    Expected standard deviation of a two-stock portfolio:

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