You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.6 percent and a standard deviation of 55.6 percent. Asset S has an expected return of 11.6 percent and a standard deviation of 20.6 percent. The correlation between the two assets is .50. What are the standard deviation and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Standard deviation % Expected return %
You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.6 percent and a standard deviation of 55.6 percent. Asset S has an expected return of 11.6 percent and a standard deviation of 20.6 percent. The correlation between the two assets is .50. What are the standard deviation and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Standard deviation % Expected return %
Related questions
| Tyler Trucks stock has an annual return mean and standard deviation of 10 percent and 39 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 11.6 percent and 45 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is .5. What is the smallest expected loss for your portfolio in the coming month with a probability of 2.5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) |
| Smallest expected loss | % |
The market portfolio has an expected return of 11.1 percent and a standard deviation of 21.1 percent. The risk-free rate is 4.1 percent.
| a. | What is the expected return on a well-diversified portfolio with a standard deviation of 8.1 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
| Expected return | % |
| b. | What is the standard deviation of a well-diversified portfolio with an expected return of 19.1 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
| Standard deviation | % |
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