Stock 1 has an expected annual return of 8% and a standard deviation of 37%. Stock 2 has an expected annual return of 14% and a standard deviation of 18%. Their correlation is 0.53. You invest 40% in stock 1 and 60% in stock 2.

Part 1 What is the expected return of the portfolio? 3+ decimals

Part 2 What is the standard deviation of the portfolio? 3+ decimals

Part 3 What is the highest annual return among the lowest returns that occur with a probability of 5% (5% VaR)?

Answer rating: 100% (QA)

Part 1 To calculate the expected return of the portfolio we need to consider the weights assigned to ... View the full answer