Expected return and standard deviation of portfolio

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Reference no: EM131130336

Suppose the expected returns and standard deviations of Stocks A and B are E(R_A) = 0.09, E(R_B) = 0.15, σ(A) = 0.36, and σ(B) = 0.62.

a. Calculate the expected return and standard deviation of a portfolio that is composed of 35 percent A and 65 percent B when the correlation between the returns on A and B is 0.5.

b. Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is -0.5.

Reference no: EM131130336

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