Question: consider an investor who invests 50000 in a portfolio consisting...
Consider an investor who invests $50,000 in a portfolio consisting of X and Y. $10,000 of that investment was funded with risk-free borrowing. The expected return of the investor’s portfolio is 9.375%.
a) Calculate the amounts invested in each of X and Y.
b) If the correlation between X and Y is 2/3, what is the standard deviation of the investor’s portfolio?