Security A has a standard deviation of .64% and Security B has a standard deviation of 1.39%. If the correlation coefficient between the returns of the two securities is +0.86, what is the standard deviation of a portfolio that is invested 40% in A and 60% in B?
Security A has a standard deviation of .64% and Security B has a standard deviation of 1.39%. If the correlation coefficient between the returns of the two securities is +0.86, what is the standard deviation of a portfolio that is invested 40% in A and 60% in B?
Related questions
| Security F has an expected return of 11.70 percent and a standard deviation of 44.70 percent per year. Security G has an expected return of 16.70 percent and a standard deviation of 63.70 percent per year. |
| a. | What is the expected return on a portfolio composed of 23 percent of Security F and 77 percent of Security G? (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)) |
| Expected return | % |
| b. | If the correlation between the returns of Security F and Security G is .18, what is the standard deviation of the portfolio described in part (a)? (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)) |
| Standard deviation | % |
