Portfolio manager wants to optimize the riskiness of the two assets portfolio with the given statistics below:- Assets Return Volatility Weight A 17.00% 15.00% 40.00% B 21.00% 25.00% 60.00%   Correlation -0.70 -0.35 0.25 0.50 0.70   Requirements Calculate the two assets portfolio standard deviation at different correlation levels which are mentioned above and suggest at which correlation is best suits to your portfolio.

Corporate Fin Focused Approach
5th Edition
ISBN:9781285660516
Author:EHRHARDT
Publisher:EHRHARDT
Chapter6: Risk And Return
Section: Chapter Questions
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Portfolio manager wants to optimize the riskiness of the two assets portfolio with the given statistics below:-

Assets

Return

Volatility

Weight

A

17.00%

15.00%

40.00%

B

21.00%

25.00%

60.00%

 

Correlation

-0.70

-0.35

0.25

0.50

0.70

 

Requirements

Calculate the two assets portfolio standard deviation at different correlation levels which are mentioned above and suggest at which correlation is best suits to your portfolio.

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