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What is the standard deviation of the hedge fund portfolio

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Reference no: EM133001078

A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracle's and Intel's returns is 0.65.

The expected returns and standard deviations of the two stocks are given in the table below:

                                 Expected Return                 Standard Deviation
Oracle                        12.00%                               45.00%
Intel                           14.50%                              40.00%.

Problem a. What is the expected return of the hedge fund's portfolio?

Problem b. What is the standard deviation of the hedge fund's portfolio?

Reference no: EM133001078

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