You invest $3 million in the US market portfolio and $7 million in the foreign portfolio. What is the variance of your portfolio?

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U.S. market portfolio: Variance: 0.25 Expected rate of return: 0.12 Foreign portfolio: Variance estimated based on dollar rate of return: 0.64 Expected dollar rate of return: 0.15 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: 80 U.S. market portfolio: Variance: 0.25 Expected rate of return: 0.12 Foreign portfolio: Variance estimated based on dollar rate of return: 0.64 Expected dollar rate of return: 0.15 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: 80

Answer rating: 100% (QA)

To calculate the variance of the portfolio we need to first calculate the portfolios expected rate o... View the full answer