Portfolio Calculations

Portfolio Calculations - Portfolio Calculations An investor...

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Portfolio Calculations An investor is putting together an investment portfolio that will consist of three asset classes: U.S. stocks, U.S. bonds and international stocks. The investor has estimated the following key variables: expected return risk (standard deviation) U.S. stocks 16% 12% U.S. bonds 12% 6% international stocks 21% 15% The correlation between U.S. stocks and U.S. bonds is 0.72. The correlation between U.S. stocks and international stocks is 0.35. The correlation between U.S. bonds and international stocks is 0.60. Calculate the expected return and risk of the portfolio for each of the following portfolios.
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This note was uploaded on 07/14/2010 for the course UGBA 18195 taught by Professor Johngonzales during the Summer '10 term at Berkeley.

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