Two perfectly positively correlated securities are combined into a portfolio. One security is expected to return 10%
Fantastic news! We've Found the answer you've been seeking!
Question:
Two perfectly positively correlated securities are combined into a portfolio. One security is expected to return 10% with a volatility of 20% and the other is expected to return 15% with a volatility of 25% If the portfolio is required to have a (target) volatility of 30%, what is its expected return?
a. 25%
b. 20%
c. 30%
d. 22.5%
Related Book For
Intermediate Accounting
ISBN: 978-0324312140
16th Edition
Authors: James D. Stice, Earl K. Stice, Fred Skousen
Posted Date: