Exhibit 6-2
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c}\begin{array}{cc}\text { Asset (A) } & \text { Asset (B) } \\\hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right) =25 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right) =15 \% \\\left(\sigma_{\mathrm{A}}\right) =18 \% & \left(\sigma_{\mathrm{B}}\right) =11 \% \\\mathrm{~W}_{\mathrm{A}}=0.75 & \mathrm{~W}_{\mathrm{B}}=0.25\\\end{array}\\\mathrm{COV}_{\mathrm{ABB}}=-0.0009\end{array}$
-Refer to Exhibit 6-2. What is the expected return of a portfolio of two risky assets if the expected return E(R_i) , standard deviation (?_i) , covariance (COV_i,j) , and asset weight (W_i) are as shown above?

Question

Exhibit 6-2
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

\begin{array}{c}\begin{array}{cc}\text { Asset (A) } & \text { Asset (B) } \\\hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right) =25 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right) =15 \% \\\left(\sigma_{\mathrm{A}}\right) =18 \% & \left(\sigma_{\mathrm{B}}\right) =11 \% \\\mathrm{~W}_{\mathrm{A}}=0.75 & \mathrm{~W}_{\mathrm{B}}=0.25\\\end{array}\\\mathrm{COV}_{\mathrm{ABB}}=-0.0009\end{array}

-Refer to Exhibit 6-2. What is the expected return of a portfolio of two risky assets if the expected return E(R_i) , standard deviation (?_i) , covariance (COV_i,j) , and asset weight (W_i) are as shown above?

Quizplus · Accepted Answer

The Answer of Exhibit 6-2 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c} \begin{array}{cc} \text { Asset (A) } & \text { Asset (B) } \ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=25 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=15 \% \ \left(\sigma_{\mathrm{A}}\right)=18 \% & \left(\sigma_{\mathrm{B}}\right)=11 \% \ \mathrm{~W}_{\mathrm{A}}=0.75 & \mathrm{~W}_{\mathrm{B}}=0.25\ \end{array}\ \mathrm{COV}_{\mathrm{ABB}}=-0.0009 \end{array}$ -Refer to Exhibit 6-2. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation (?_i), covariance (COV_i,j), and asset weight (W_i) are as shown above? A) 18.64% B) 20.0% C) 22.5% D) 13.65% E) 11%