1. What is the expected standard deviation of return for a portfolio consisting of 40% in Asset 1 and 60% in Asset 2. The details of the assets are as follows: RETURN STANDARD DEVIATION ASSET 1 15% 18% ASSET 2 12% 12%
The correlation coefficient between the asset returns is 0.50.
11.38%
12.00%
14.40%
15.00%
18.00%
You are currently holding 100% of your wealth in Boots plc. Its expected return is 12%, with a standard deviation of 28%. You notice that BT has an expected return of 13%, and standard deviation of returns of 35%. If the covariance between the two stocks is 196%, calculate the overall risk of a portfolio holding each security in equal proportion
18.6%
20.0%
22.4%
24.5%
31.5%
You have the opportunity to invest in two securities which are perfectly negatively correlated. Security A has an expected return of 6% and a standard deviation of returns of 10%. Security B has an expected return of 12% and a standard deviation of returns of 20%. You have been asked to create a zero risk portfolio. Estimate the weights of each security in this zero risk portfolio of A and B