Draw the mean-standard deviation frontier

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The expected returns and standard deviation of returns for two securities are as follows:
Security Z Security Y
Expected Return 15% 35%
Standard Deviation 20% 40%
The correlation between the returns is + .25.

(a) Calculate the expected return and standard deviation for the following portfolios:
1i. all in Z
ii. .75 in Z and .25 in Y
iii. .5 in Z and .5 in Y
iv. .25 in Z and .75 in Y
v. all in Y

(b) Draw the mean-standard deviation frontier.

(c) Which portfolios might be held by an investor who likes high mean and low standard deviation?

 

Reference no: EM13259154

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