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Imagine minimum variance portfolio comprising investments

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Question

1. Jennerous Ltd pays dividends at the end of each quarter that are constantly growing by 4% p.a. compounded monthly. If the dividend paid exactly three months ago was $(1 + ??), where ?? is in cents, and another dividend has just been paid yesterday, what is the annual effective required rate of return on Jennerous Ltd shares if the share price today is $162?

2. Imagine a minimum variance portfolio comprising investments of 94.59% in BCD and the remainder in CDE. If the covariance between the two assets is 0.0014 and the standard deviation of returns on CDE is 7%, answer the following:

i. What is standard deviation of returns on BCD?

ii. What is the risk of the portfolio comprising 80% in BCD and 20% in CDE?

Reference no: EM133495648

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