Description of this paper

The expected returns and standard deviation of returns for two securities

Description

solution


Question

The expected returns and standard deviation of returns for two securities are as follows;???Security Z;Expected Return 15% Standard Deviation 20%;The correlation between the returns is +0.25.;Security Y;35% 40%;????a) Calculate the expected return and standard deviation for the following portfolios;i) All in Z;ii) 0.75 in Z and 0.25 in Y iii) 0.5 in Z and 0.5 in Y iv) 0.25 in Z and 0.75 in Y v) AllinY;b) Draw the mean-standard deviation frontier.;c) Which portfolios might not be held by an investor who likes high expected return and low standard deviation?;See attachment for formulas;Attachment Preview

 

Paper#28145 | Written in 18-Jul-2015

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