You are a portfolio manager of a global equity fund of funds UITF. You decided to hold a portfolio with 80 percent invested in the S&P 500 equity index fund and the remaining in the Blackrock Emerging Markets Index Fund. The expected return for the former is 9.93% and then 18.20% for the Blackrock Emerging Markets index. The risk (standard deviation) is 16.21 % for the S&P 500 and 33.11 % for the Blackrock Emerging Markets index. What is the portfolio’s expected risk in terms of standard deviation given that the covariance between the S&P 500 equity index fund and the Blackrock Emerging Markets index is 0.5 percent or 0.0050?

You are a portfolio manager of a global equity fund of funds UITF. You decided to hold a portfolio with 80 percent invested in the S&P 500 equity index fund and the remaining in the Blackrock Emerging Markets Index Fund. The expected return for the former is 9.93% and then 18.20% for the Blackrock Emerging Markets index. The risk (standard deviation) is 16.21 % for the S&P 500 and 33.11 % for the Blackrock Emerging Markets index. What is the portfolio’s expected risk in terms of standard deviation given that the covariance between the S&P 500 equity index fund and the Blackrock Emerging Markets index is 0.5 percent or 0.0050?

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 5P

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