Reading 66: Portfolio Concepts Los a(part2)~Q23-24 expected, standard, between, return, market

youzizhang

 

Q23. The beta of Fund A is 1.2, the expected return of T-bills is 5% and the standard deviation for the market is 13%. What is the covariance between the market portfolio and Fund A?

A)   0.081.

B)   0.020.

C)   0.156.

 

Q24. What are the expected return and expected standard deviation for the two-asset portfolio described as:

Expected Return/Correlation	Variance	Weight
E(R1) = 10%	Var(1) = 9%	w1 = 30%
E(R2) = 15%	Var(2) = 25%	w2 = 70%
r1,2 = 0.4

E(R_port)                                   σ_port

 

A)  13.5%                                     39.47%

B)  10.5%                                     15.58%

C)  11.5%                                     3.95%

selvie0818

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