FINS1613 Study Guide - Quiz Guide: Expected Return, Standard Deviation, Bundesautobahn 66
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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .086, E(RB) = .146, ÏA = .356, and ÏB = .616. |
a-1. | Calculate the expected return of a portfolio that is composed of 31 percent Stock A and 69 percent Stock B when the correlation between the returns on A and B is .46. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
Expected return | % |
a-2. | Calculate the standard deviation of a portfolio that is composed of 31 percent Stock A and 69 percent Stock B when the correlation between the returns on A and B is .46. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
Standard deviation | % |
b. | Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on Stocks A and B is â.46. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
Standard deviation | % |
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 | % |