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Consider the following characteristics of stocks A and B Asset A B Excess Return-E(R) 0.06 0.08 Variance-02 0.03 0.04 Covariance-Cov(TA. TB) 0.05 Which of the following portfolio(s) is the optimal risky portfolio constructed by these two assets?

Consider the following characteristics of stocks A and B Asset A B Excess Return-E(R) 0.06 0.08 Variance-02 0.03 0.04 Covariance-Cov(TA. TB) 0.05 Which of the following portfolio(s) is the optimal risky portfolio constructed by these two assets?

EBK CONTEMPORARY FINANCIAL MANAGEMENT
EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 20P
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Consider the following characteristics of stocks A and B Asset A B 0.06 0.03 Excess Return-E(R) Variance 0² 0.08 0.04 Covariance-Cov(TA. TB) Which of the following portfolio(s) is the optimal risky portfolio constructed by these two assets? 0.05 O a. The portfolio with 65 percent in A and 35 percent in B O b. The portfolio with 35 percent in A and 65 percent in B O c. The portfolio with 73 percent in A and 27 percent in B Od. The portfolio with 52 percent in A and 48 percent in B Oe. It is not possible to tell from the information provided
Transcribed Image Text:Consider the following characteristics of stocks A and B Asset A B 0.06 0.03 Excess Return-E(R) Variance 0² 0.08 0.04 Covariance-Cov(TA. TB) Which of the following portfolio(s) is the optimal risky portfolio constructed by these two assets? 0.05 O a. The portfolio with 65 percent in A and 35 percent in B O b. The portfolio with 35 percent in A and 65 percent in B O c. The portfolio with 73 percent in A and 27 percent in B Od. The portfolio with 52 percent in A and 48 percent in B Oe. It is not possible to tell from the information provided
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