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Coefficient of correlation

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A risky portfolio, P, is constructed with 2 risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081. The coefficient of correlation, rho, between X and Y is 0.45. What is the SR for the portfolio P? What is the change in SR if the coefficient of correlation is changed to -0.20? Assume TB rate is 5%.

Reference no: EM132154601

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