Calculate the standard deviation of portfolio

Reference no: EM1345302

You are planning to form a portfolio with two securities, the details of which are as follows:

Security Expected Return Standard Deviation
1 12% 4%
2 10% 3%

Assume that the returns on these two securities are perfectly negatively correlated. Calculate portfolio expected return and variance for different combinations of these two securities and draw the efficient frontier. If you require an expected return of 11%, calculate the standard deviation of your portfolio.

Reference no: EM1345302

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