Portfolio Risk and Return: Boeing and Unilever An investor is evaluating a two-asset portfolio of the following two securities:
|
Security
|
Expected Return(percent)
|
Std. Dev.(percent)
|
|
Boeing ( U.S)
|
18.6
|
22.8
|
|
Unilever(U.K)
|
16.0
|
24.0
|
a. If the two securities have a correlation of +.6, %Out is the expected risk and return for a portfolio that is equally weighted?
b. If the two securities have a correlation of +,6, what is the expected risk and return for a portfolio that is 70% Boeing and 30% Unilever?
c. If the two securities have a correlation of +.6, what is the expected risk and return for a portfolio that. is optimally weighted? (You have to determine the weights that minimize the combined risk.)