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A portfolio is composed of two shares. The following parameters associated with the returns of the...
A portfolio is composed of two shares. The following parameters associated with the returns of the two shares are given. Share 1 2 Proportion of portfolio 0.30 0.70 Mean 0.12 0.25 Standard deviation 0.02 0.15 For each of the following values of the coeffi cient of correlation, determine the mean and the standard deviation of the return on the portfolio. a ρ = 0.5 b ρ = 0.2 c ρ = 0.0
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