You are given the following data about the expected one year returns on security A, RA and security B, RB. along with the standard deviations of returns on asset A, σA and the standard deviations of returns on asset B, σB. Complete the following table for standard deviations of the portfolio for the two values of the correlation coefficient of returns on securities A and B (ρAB) and the differing weights attached to the two securities wA and wB. (Show you workings in full)
RA = 15%, σA = 60%
RB = 10%, σB = 30%
wA wB ρAB=0.5 ρAB=0 Return
0.8 0.2 ? ? ?
0.2 0.8 ? ? ?
