An investor constructs a portfolio of Security X and Security Y with weights of 61% and 39%, respectively. Assume that Security Y has an expected return of 13% and its volatility is 23%. The correlation coefficient between the returns of Security X and Security Y is 0.30. Which of the following is the closest to the expected return of the portfolio? a. 16.90% b. 8.61% C. 11.56% d. 10.15% e. 12.08%

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