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Calculate covariance and correlation between a and b

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Reference no: EM133073644

Please answer Q1 to Q3 based on the following table:

Prob.

Ret(A)

Ret(B)

10%

-5.00%

-2.00%

20%

0.00%

1.00%

40%

5.00%

3.00%

20%

10.00%

4.00%

10%

15.00%

5.00%

Q1. Please calculate covariance and correlation between A and B.

Q2. Please calculate the variance of a portfolio consisting of 45% of A and 55% of B.

Q3. Please find the optimal portfolio (calculate WA and WB) corresponding to 4% of return.

Reference no: EM133073644

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