A portfolio consists of assets A and B which possesses the following expected return, risk and weights.\(a)What is the Maximum portfolio standard deviation.\(b) What is the minimum portfolio standard deviation?
$$
\begin{array}{c|c|c|c}
Asset & Expected return & Standard deviation & Weight \\
\hline
A & 0.10 & O.20 & 0.35 \\
B & 0.15 & 0.25 & 0.65\\
\end{array}
$$
To calculate varience for portfolio, we use
$\sigma^2_p=\sigma^2_aW^2_a+\sigma^2_bW^2_b+2W_aW_b\sigma_a\sigma_(cor_{xy})$,
where $cor_{xy}$ is the correlation Coefficient between x and y.But I am not provided the correlation coefficient.I do not even know the covariance.Please help
Best Answer
Hint
The co-domain of the corellation coefficient $\rho_{ab}$ is between $-1$ and $1$ (inclusive).