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Mathematics, 06.06.2020 21:58, gabriellabadon2
An investor holding a portfolio consisting of two stocks invests25% of assets in Stock Aand 75%into Stock B. The return RA from StockAhas a mean of 4%and a standard deviation of sA Ā¼ 8%. Stock B has an expected return E(RB) Ā¼ 8% with a standard deviation of sB Ā¼ 12%. The portfolio return is P = 0:25RA + 0:75RB. A) Compute the expected return on the portfolio. B) Compute the standard deviation of the returns on the portfolio assuming that the two stocks' returns are perfectly positively correlated. C) Compute the standard deviation of the returns on the portfolio assuming that the two stocks' returns have a correlation of 0.5. D) Compute the standard deviation of the returns on the portfolio assuming that the two stocks' returns are uncorrelated.
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