The Washington Fund The Jefferson Fund Expected Return 30% 36% Variance 0.0576 0.1024 Investment $2,000,000 $6,000,000 Correlation 0.40
The Washington Fund
The Jefferson Fund
30%
36%
0.0576
0.1024
$2,000,000
$6,000,000
0.40
First calculate the portfolio weights on each fund:
WWash = $2 million/$8 million = 0.25 WJeff = $6 million/$8 million = 0.75
WWash = $2 million/$8 million = 0.25
WJeff = $6 million/$8 million = 0.75
The expected portfolio return is the weighted average of the funds' expected returns:
E(RP) = (0.25)(30%) + (0.75)(36%) = 34.5%.
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