Expected return of an equally weighted portfolio

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Suppose expected dollar returns to U.S. investors in the United States and Germany are 11.8% and 12.5%, respectively. The U.S. standard deviation is 17.8% and the German standard deviation is 30.0%.

a. Calculate the expected return of an equally weighted portfolio of these two indices.

b. Calculate the standard deviations of equally weighted portfolios of the two indices under : i) perfect positive correlation, ii) perfect negative correlation, iii) the observed correlation of 0.443.

Reference no: EM131543735

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