Expected return and standard deviation of a portfolio

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Reference no: EM131508440

Suppose the expected returns and standard deviations of stocks A and B are E( RA ) = 0.08, E( RB ) = 0.14, σ A = 0.40, and σ B = 0.64, respectively.

Required:

(a) Calculate the expected return and standard deviation of a portfolio that is composed of 42 percent A and 58 percent B when the correlation between the returns on A and B is 0.41. (Do not include the percent signs (%). Round your answers to 2 decimal places. (e.g., 32.16))

Expected return %

Standard deviation %

(b) Calculate the standard deviation of a portfolio that is composed of 37 percent A and 63 percent B when the correlation coefficient between the returns on A and B is −0.41. (Do not include the percent sign (%). Round your answer to 2 decimal places. (e.g., 32.16))

Standard deviation %

Please show the caluclations

Reference no: EM131508440

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