Security F has an expected return of 10.8 percent and a standard deviation of 29

Question

Security F has an expected return of 10.8 percent and a standard deviation of 29 percent per year. Security G has an expected return of 16.5 percent and a standard deviation of 58 percent per year.

What is the expected return on a portfolio composed of 29 percent of security F and 71 percent of security G? (Do not include the percent sign (%). Round your answer to 2 decimal places. (e.g., 32.16))

If the correlation between the returns of security F and security G is 0.24, what is the standard deviation of the portfolio described in part (a)? (Do not include the percent sign (%). Round your answer to 2 decimal places. (e.g., 32.16))

Security F has an expected return of 10.8 percent and a standard deviation of 29 percent per year. Security G has an expected return of 16.5 percent and a standard deviation of 58 percent per year.

Explanation / Answer

expected return on a portfolio composed of 29 percent of security F and 71 percent of security G = .29x10.8+(.71x16.5)= 14.847%

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