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Calculate the volatility of the investor portfolio

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Reference no: EM132966824

Question - An investor constructs a portfolio with the following characteristics:

i) The only assets in the portfolio are equities, bonds, and cash.

ii) The portfolio is weighted 30% in equities, 90% in bonds, and -20% in cash.

iii) The volatility of equities is 30%.

iv) The volatility of bonds is 15%.

v) The volatility of cash is 4%.

vi) The correlation of returns between equities and bonds is -25%.

vii) The correlation of returns between equities and cash is 5%.

viii) The correlation of returns between bonds and cash is 45%.

Required - Calculate the volatility of the investor's portfolio.

Reference no: EM132966824

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