You form a diversified portfolio consisting of BNI and ASII stocks.

a). Using different proportions that BNI could constitute the portfolio ranging from 0% to 100% in 10% increments. Calculate the Portfolio Variance, Standard Deviation and Expected Return.

b). What are the investment proportions/allocation in the optimal portfolio of the 2 stocks? What is the Expected Return and the Standard Deviation of its rate of return? (risk-free interest rate = 5%.

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Year 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 PT. BNI (Persero) Tbk End of Year Closing Price 3,875 3,800 1,870 3,950 6,100 4,990 5,525 9,900 8,800 7,850 Calendar Year Dividends(Rp) 22.35 65.98 62.48 113.35 291.42 144.55 122.534 425.614 255.555 201.29 PT. ASII Tbk End of Year Closing Price 5,455 7,400 7,550 6,800 7,425 6,000 8,275 8,300 8,225 6,925 Calendar Year 470 1,730 1,446 214 216 216 168 168 190 211 Year 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 PT. BNI (Persero) Tbk End of Year Closing Price 3,875 3,800 1,870 3,950 6,100 4,990 5,525 9,900 8,800 7,850 Calendar Year Dividends(Rp) 22.35 65.98 62.48 113.35 291.42 144.55 122.534 425.614 255.555 201.29 PT. ASII Tbk End of Year Closing Price 5,455 7,400 7,550 6,800 7,425 6,000 8,275 8,300 8,225 6,925 Calendar Year 470 1,730 1,446 214 216 216 168 168 190 211

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a Using different proportions that BNI could constitute the portfolio ranging from 0 to 100 in 10 increments Calculate the Portfolio Variance Standard Deviation and Expected Return The expected return ... View the full answer