Question

You have the following information about the daily returns, standard deviations, and correlations between a US stock index, a US bond index, and an All-world Ex-US stock index:

	US stock	US bond	World stock
Expected return (%)	0.045	0.036	0.06
Std. Deviation (%)	0.54	0.38	0.66

Correlation matrix
	US stock	US bond	World stock
US stock	1	0.33	0.54
US bond		1	0.37
World stock			1

What is the standard deviation of returns on a portfolio composed of 50% US stock, 30% US bond, and 20% World stock indices?

Enter answer as a percentage, accurate to two decimal places.

Answer 1

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07.13 х 38 22 01 2020 fr LR115/ LK LL LM LN LO LP LQ LR LS LT LU LV- 1154 1155 1156 1157| 1158 SD US STOCK 50% rAB =0.33 1159 0.54% US BOND 0.38% 1160 30% rBC =0.37 rAC =0.54 1161 WORLD STOCK 20% 0.66% 1162 1162 1164 PORTFOLIO SD = SQRT ((WA)^2*(SDA)^2 + (WB)^2*(SDB)^2 + (Wc)^2*(SDC)^2+ 2 WA*WB*SDA*SDB*rAB + 2 WB*Wc*SDB*SDC*rBC + 2 WA*Wc*SDA*SDB*rAC 1165 1166 1167 PORTFOLIO SD = SQRT[(50%)^2*(0.54%)^2 +(30%)^2*(0.38%)^2 + (20%)^2*(0.66%)^2 + 2*(50%)*(30%)*(0.54%)*(0.38%)*(0.33) + 2*(30%)*(20%)(0.38%)*(0.66%)*(0.37) + 2*(50%)*(20%)*(0.54%)*(0.66%)(0.54)] %3D 1168 1169 PORTFOLIO SD = 0.42% 1170 1171 1172 1173 1174 1175 1176 1177 1178 1179 1180 1181 PV, FV, ANNUITY | ACC | CVP | KE| NPV | RAK ROE | sld costing EPS%, ECONOMY, BEFORE AFTER | BUYBACI . O capm-portfolio relirernent fulures margin BOND HPR REALISED VIELD