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Question 1 (Mean & Variance) Given two assets, we assume their daily returns are normally distributed. That is, X- N(0.0
Posted: Sun Sep 05, 2021 5:00 pm
by answerhappygod
- Question 1 Mean Variance Given Two Assets We Assume Their Daily Returns Are Normally Distributed That Is X N 0 0 1 (96.87 KiB) Viewed 176 times
Question 1 (Mean & Variance) Given two assets, we assume their daily returns are normally distributed. That is, X- N(0.0012,0.2), Y ~ N(0.0015, 0.18). Moreover, the covariance of the two returns is 0.1. Suppose you allocate 25% of your wealth to the first asset and 75% to the second one. (a)(2pts) What is the expected return of your portfolio? (b)(2pts) What is the variance of your portfolio?