Question: Suppose Johnson & Johnson and Walgreen Boots Alliance have expected returns and volatilities shown here, Expected Return Standard Deviation Johnson & Johnson 6.9% 14.6% Walgreens

Suppose Johnson & Johnson and Walgreen Boots Alliance have expected returns and volatilities shown here,

Expected Return Standard Deviation Johnson & Johnson 6.9% 14.6% Walgreens Boots Alliance 10.6% 18.4%

,

with a correlation of 24%.

Calculate

(a)the expected return and

(b)the volatility (standard deviation) of a portfolio that consists of a long position of

$9,000 in Johnson & Johnson and a short position of $3,000 in Walgreens

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