We consider a market with N risky assets. The following table shows the information of some portfolios constructed by these risky assets. Expected return Portfolio 1 (W₁) Portfolio 2 (W₂) Portfolio 3 (W3) Portfolio 4 (W4) 0.0321 0.0607 0.1263 0.1322 Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 Standard deviation of the return 0.093207 0.088882 0.217899 0.212048 The correlation coefficient of returns of these portfolios are given in the following table: Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 1 0.731672 -0.02533 0.731672 1 0.662908 0.002018 0.62553 0.915149 -0.02533 0.662908 0.002018 0.62553 1 0.915149

We consider a market with N risky assets. The following table shows the information of some portfolios constructed by these risky assets. Expected return Portfolio 1 (W₁) Portfolio 2 (W₂) Portfolio 3 (W3) Portfolio 4 (W4) 0.0321 0.0607 0.1263 0.1322 Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 Standard deviation of the return 0.093207 0.088882 0.217899 0.212048 The correlation coefficient of returns of these portfolios are given in the following table: Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 1 0.731672 -0.02533 0.731672 1 0.662908 0.002018 0.62553 0.915149 -0.02533 0.662908 0.002018 0.62553 1 0.915149

Corporate Fin Focused Approach

5th Edition

ISBN:9781285660516

Author:EHRHARDT

Publisher:EHRHARDT

Chapter6: Risk And Return

Section: Chapter Questions

Problem 1Q

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