Exhibit 6-8
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

question 38

Multiple Choice

Exhibit 6-8
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c}\begin{array}{cc}\text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\\hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right) =10 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right) =14 \% \\\left(\sigma_{\mathrm{A}}\right) =7 \% & \left(\sigma_{\mathrm{B}}\right) =8 \% \\\mathrm{~W}_{\mathrm{A}}=0.7 & \mathrm{~W}_{\mathrm{B}}=0.3\end{array}\\\mathrm{COV}_{\mathrm{AB}}=0.0013\end{array}$
-Refer to Exhibit 6-8. 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) 6.4%
• B) 9.1%
• C) 10.2%
• D) 10.8%
• E) 11.2%

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