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Compute the expected rate of return of the portfolio

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Reference no: EM133185569

Question - Assume a portfolio of three assets A, B and C having the following characteristics:

Asset

E(Ri)

∂i

Wi

A

0.06

0.05

0.25

B

0.10

0.08

0.35

C

0.15

0.12

0.40

The correlations are

rA,B= 0,86

r A,C=0.95

r B,C= -0.95

Required -

1. Compute the expected rate of return of the portfolio.

2. Compute the standard deviation of the portfolio.

3. Interpret this result.

Reference no: EM133185569

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