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Consider portfolios formed from two risky assets, the first with expected return equal to 4 and...

Consider portfolios formed from two risky assets, the first with expected return equal to 4 and standard deviation of its return equal to 6, the second with expected return equal to 5 and standard deviation of its return equal to 3. Let w1 denote the fraction of wealth in the portfolio allocated to asset 1, Let 1-w1 denote the fraction of wealth in the portfolio allocated to asset 2. suppose that the two asset returns are uncorrelated, so that ρ12 = 0. What is the expected return μP and the variance of the portfolio σp?

A.

μP =5+w1

σp=(w12*9+9-18W1)1/2

B.

μP =5w1

σp=(w12*45+9-9W1)1/2

C.

μP =5-w1

σp=(w12*45+9-18W1)1/2

D.

μP =5-4w1

σp=(w12*45+9-18W1)1/2

Math   Statistics-And-Probability   
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