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Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = 0

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Suppose the expected returns and standard deviations of Stocks A and B are E(R_A) = 0.087, E(R_B) = 0.147, σ_A = 0.357, and σ_B = 0.617. (Do not round intermediate calculations. Round the final answers to 2 decimal places.)

a-1. Calculate the expected return of a portfolio that is composed of 32 percent A and 68 percent B when the correlation between the returns on A and B is 0.47.

Expected return            %

a-2. Calculate the standard deviation of a portfolio that is composed of 32 percent A and 68 percent B when the correlation between the returns on A and B is 0.47.

Standard deviation          %

b. Calculate the standard deviation of a portfolio with the same portfolio weights as in part (a) when the correlation coefficient between the returns on A and B is −0.47.

Standard deviation       %