Calculate the standard deviation of a portfolio with same

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Reference no: EM132005478

Suppose the expected returns and standard deviations of Stocks A and B are E(R_A) = .095, E(R_B) = .155, sigma_A = .365, and sigma_B = .625.

a-1. Calculate the expected return of a portfolio that is composed of 40 percent A and 60 percent B when the correlation between the returns on A and B is .55.

(Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

a-2. Calculate the standard deviation of a portfolio that is composed of 40 percent A and 60 percent B when the correlation between the returns on A and B is .55.

(Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)

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 -55.

(Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

Reference no: EM132005478

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