I the two securities have a correlation of 6 what is the

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Portfolio Risk and Return: Boeing and Unilever An investor is evaluating a two-asset portfolio of the following two securities:

Security

Expected Return(percent)

Std. Dev.(percent)

Boeing ( U.S)

18.6

22.8

Unilever(U.K)

16.0

24.0

a. If the two securities have a correlation of +.6, %Out is the expected risk and return for a portfolio that is equally weighted?

b. If the two securities have a correlation of +,6, what is the expected risk and return for a portfolio that is 70% Boeing and 30% Unilever?

c. If the two securities have a correlation of +.6, what is the expected risk and return for a portfolio that. is optimally weighted? (You have to determine the weights that minimize the combined risk.)

Reference no: EM13574852

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