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Calculate the expected return of a portfolio

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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = 0.082, E(RB) = 0.142, σA = 0.352, and σB = 0.612. (Do not round intermediate calculations. Round the final answers to 2 decimal places.)

Problem a-1. Calculate the expected return of a portfolio that is composed of 27 percent A and 73 percent B when the correlation between the returns on A and B is 0.42.

Problem a-2. Calculate the standard deviation of a portfolio that is composed of 27 percent A and 73 percent B when the correlation between the returns on A and B is 0.42.

Problem 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 A and B is -0.42.

Reference no: EM132935657

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