Business, 18.06.2020 23:57, gracynamos

The expected returns and standard deviation of returns for two securities are as follows: Security Z Security Y Expected Return 8% 18% Standard Deviation 20% 30% The correlation between the returns is .15. (a) Calculate the expected return and standard deviation for the following portfolios: i. 100% in Z. ii. 75% in Z and 25% in Y. iii. 50% in Z and 50% in Y. iv. 25% in Z and 75% in Y. v. 0 % in Z and 100% in Y. vi. -25% in Z and 125% in Y. Feel free to use a spreadsheet for this calculation and just report the two values per portfolio. (b) Draw the mean-standard deviation frontier. (c) Mark the three regions in which the share in security Z is negative, between 0 and 1, and bigger than 1. Indicate the minimum variance portfolio and the efficient frontier. (d) The return of security Y is normally distributed. What is the probability it will have a return below 0% in a given year

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The expected returns and standard deviation of returns for two securities are as follows: Security Z...