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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .089,...

Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .089, E(RB) = .149, σA = .359, and σB = .619.

  

a-1.

Calculate the expected return of a portfolio that is composed of 34 percent A and 66 percent B when the correlation between the returns on A and B is .49. (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places (e.g., 32.16).)

  

  Expected return %

  

a-2.

Calculate the standard deviation of a portfolio that is composed of 34 percent A and 66 percent B when the correlation between the returns on A and B is .49. (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places (e.g., 32.16).)

  

  Standard deviation %

  

b.

Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is −.49. (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places (e.g., 32.16).)

  

  Standard deviation %
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