題組內容

I. (10%) A client is interested in a portfolio consisting of investments in the World Stock Index Fund (WSI) and the Taiwan Government Bond Fund (TGB). WSI is composed of global stocks with good dividend yields. The average percent return of an investment in the WSI is 7.80% with a standard deviation of 18.90%. The average percent return of an investment in TGB is 5.50% and the standard deviation is 4.60%. The covariance of an investment in the WSI with an investment in the TGB is -12.4.

(b) Suppose you recommend that the client invests \( 75\% \) in the WSI and \( 25\% \) in the TGB. If the client decides to invest in NT$10,000 in this portfolio, what would be the expected return and standard deviation, in dollars, for the client's investment?