What is the standard deviation of portfolio h

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Reference no: EM132032425

The total risk of Portfolios A,B and C are 49%2, 64%2 and 100%2 respectively. The market price of risk is 8%. The Market Portfolio has an expected return and a total risk of 11% and 100%2 respectively.

I want to form another Portfolio H by investing $7,000 in Portfolio A ancl $3,000 in Portfolio B.

I have the following questions which require your valuable advices. What is the standard deviation of portfolio H if the correlation coefficient between Pottfolio A and Portfolio B is:

1.perfectly positively correlated

2.uncorrelated

3.perfectly negatively correlated

State the final answer with 2 decimal places in percentage What conclusions on risk reduction you can draw for each case from the above computations and answers?

Reference no: EM132032425

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