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find out the expected returns from the following portfolios:

Use the following formula to find out the portfolio standard deviation ?P =√ (wA?A)2 + (wB?B)2 +(2 wA wB ?A ?B ρ(A,B))
=(((wA*?A) ^ 2) + ((wB *?B) ^2)+(2 *wA* wB *?A *?B *ρ(A,B))))^.5

Where wA and wB are the % of assets in Asset A and B respectively ?A and ?B are the respective standard deviations of return and ρ(A,B)).is the correlation of returns between asset A and B

Portfolio Expected Return Portfolio Std Dev.
% Asset A % Asset B
0% 100%
25% 75%
50% 50%
75% 25%
100% 0%

Statistics and Probability, Statistics

  • Category:- Statistics and Probability
  • Reference No.:- M9105196

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