Reference no: EM132515695

Suppose there is a two-asset portfolio, consisting of Asset A and Asset B. The returns of both assets follow normal distribution. Asset A has an expected return of 12.5%, Asset B has an expected return of -2.5%. The standard deviation of the Asset A's return is 4.5%, and the standard deviation of the Asset B's return is 6.5%. The correlation coefficient () of the two assets is 0.15. The market value of Asset A is 35% of the total portfolio.

A: What is the expected return of this portfolio?

A. 1.25%
B. 2.50%
C. 2.75%
D. 3.15%
E. None of the above

B What is the standard deviation of the return of this portfolio?

A. 0.035
B. 0.047
C. 0.265
D. 0.318
E. None of the above

C. What is the VaR of this portfolio at 1% left tail?

A. -5.6%
B. -6.2%
C. -7.3%
D. -8.2%
E. None of the above