Exhibit 6-1
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

question 40

Multiple Choice

Exhibit 6-1
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $$\begin{array} { c c } \text { Asset } ( A ) & \text { Asset } ( B ) \\\hline E \left( R _ { A } \right) = 10 \% & E \left( R _ { B } \right) = 15 \% \\\left( \sigma _ { A } \right) = 8 \% & \left( \sigma _ { B } \right) = 9.5 \% \\W _ { A } = 0.25 & W _ { B } = 0.75 \\\operatorname { Cov } _ { A , B } = 0.006\end{array}$$
-Refer to Exhibit 6-1. What is the expected return of a portfolio of two risky assets if the expected return E(R_i) , standard deviation (?_i) , covariance (COV_i,j) , and asset weight (W_i) are as shown above?

• A) 8.79%
• B) 12.5%
• C) 13.75%
• D) 7.72%
• E) 12%

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