Exhibit 6-9
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c}\begin{array}{cc}\text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\\hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right) =18 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right) =13 \% \\\left(\sigma_{\mathrm{A}}\right) =7 \% & \left(\sigma_{\mathrm{B}}\right) =6 \% \\\mathrm{~W}_{\mathrm{A}}=0.3 & \mathrm{~W}_{\mathrm{B}}=0.7\end{array}\\\mathrm{COV}_{\mathrm{AB}}=0.0011\end{array}$
-Refer to Exhibit 6-9. 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 6-9
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

\begin{array}{c}\begin{array}{cc}\text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\\hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right) =18 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right) =13 \% \\\left(\sigma_{\mathrm{A}}\right) =7 \% & \left(\sigma_{\mathrm{B}}\right) =6 \% \\\mathrm{~W}_{\mathrm{A}}=0.3 & \mathrm{~W}_{\mathrm{B}}=0.7\end{array}\\\mathrm{COV}_{\mathrm{AB}}=0.0011\end{array}

-Refer to Exhibit 6-9. 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 6-9 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c} \begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=18 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=13 \% \ \left(\sigma_{\mathrm{A}}\right)=7 \% & \left(\sigma_{\mathrm{B}}\right)=6 \% \ \mathrm{~W}_{\mathrm{A}}=0.3 & \mathrm{~W}_{\mathrm{B}}=0.7 \end{array}\ \mathrm{COV}_{\mathrm{AB}}=0.0011 \end{array}$ -Refer to Exhibit 6-9. 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) 10.10% B) 11.60% C) 13.88% D) 14.50% E) 15.37%