Top Posters
Since Sunday
e
7
t
7
f
6
e
6
c
6
J
6
e
6
j
6
F
6
a
6
u
6
o
6
Home Q & A Board Other Fields Homework Help Business Finance
New Topic  
rado202 rado202
wrote...
Go to Answer
Posts: 146
Rep: 0 0
2 months ago
Suppose you plan to create a portfolio with two securities: Rolie and Polie. Rolie has an expected return of 6.0% with a standard deviation of 5.0%. Polie has an expected return of 18.0% with a standard deviation of 15.0%. The correlation between the returns of these two securities is perfectly negative. What percentage of your investment should be in Polie to make the portfolio risk free? What would be the expected return on the portfolio?

▸ Portfolio weight in Polie = 60%; expected return on the portfolio = 13.20%

▸ Portfolio weight in Polie = 25%; expected return on the portfolio = 9.00%

▸ Portfolio weight in Polie = 75%; expected return on the portfolio = 15.00%

▸ Portfolio weight in Polie = 40%; expected return on the portfolio = 10.80%
Textbook 
Corporate Finance

Corporate Finance


Edition: 5th
Author:
Read 25 times
1 Reply
Replies
Answer verified by a subject expert
hhortonhhorton
wrote...
#1
Posts: 127
Rep: 0 0
2 months ago
Sign in or Sign up in seconds to unlock everything for free
More solutions for this book are available here
1

Related Topics

rado202 Author
wrote...

2 months ago
Thank you, thank you, thank you!
logbi
wrote...

Yesterday
This site is awesome
deathDoUsPart
wrote...

2 hours ago
this is exactly what I needed
New Topic      
Quick Reply
Explore
Post your homework questions and get free online help from our incredible volunteers
  1027 People Browsing
Start New Topic Take the Tour CoursesNew Study Tools Topics Trending Browse by Textbook
Live Chat
Related Images
  
 302
  
 264
  
 278
Your Opinion
Previous poll results: Which country would you like to visit for its food?