Create a portfolio and compute expected return

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3. Suppose two securities with expected return of 16 percent and 20 percent and standard deviation of 25 percent and 40 percent, respectively.
a. If the returns of the two assets are perfectly correlated, create a portfolio with an expected return of 24%. Find the standard deviation of that portfolio.
b. Create a portfolio with a standard deviation of 30%. Compute that portfolio's expected return.
c. With the perfectly positive correlation, create a risk-less portfolio and find the risk free rate.
d. If the two assets are perfectly negative correlated, find the minimum variance portfolio and its expected return.
e. If the two assets are perfectly negatively correlated, find a portfolio with a standard deviation of 15% and compute its return. Verify that is on the efficient frontier.
f. If the correlation between the two assets is zero, create a portfolio with a 19% return and compute the portfolio standard deviation.
g. If the return of the two assets is zero, find the minimum variance portfolio and its expected return.

Reference no: EM1366545

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