Aberdeen Asset Management Company is considering to diversify their portfolio in two types of securities...
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Aberdeen Asset Management Company is considering to diversify their portfolio in two types of securities with the following returns: Probability 0.15 0.35 0.20 0.30 Security A 8% 5% -4% Security B 6% 3% 2% 10% -6% a) Compute the expected total return and standard deviation for both securities. (8 marks) b) Compute the covariance and correlation coefficient between Security A and Security B. (6 marks) c) Find the portfolio return and risk if 40% is invested in Security A and 60% invested in Security B. (6 marks)
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