1-assume a 2 asset portfolio consisting of the following:
A-50 percent investment Expected Return 10percent Variance is 400
B-50% investment expected return 5 percent variance is 25
assume a coefficient of correlation of
1-0
2--1
3- +1
4- +.60
Find the expected return and standard deviation-risk measure of the portfolio in cases 1,2,3,4
Which of the 4 is the most efficient and why?