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Define standard deviation of returns of a portfolio

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Reference no: EM131749859

Question: Assume the following information about two shares A and B:

rA = 12%, σA = 4%, rB = 10%, σB = 10%, ρAB = -1

(a) What is the expected return and standard deviation of returns of a portfolio that consists of 60 percent of A and 40 percent of B?

(b) If the correlation coefficient ρAB were zero, would your answer to (a) change? If so, recompute the standard deviation and expected return of the portfolio.

Reference no: EM131749859

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