Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 27 percent, and Stock I, an international company, with an expected return of 16 percent and a standard deviation of 44 percent. The correlation between the two stocks is -0.6. What is the weight of stock D in the minimum variance portfolio?

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
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Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
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Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 27 percent, and Stock I, an international company, with an expected return of 16 percent and a standard deviation of 44 percent. The correlation between the two stocks is -0.6. What is the weight of stock D in the minimum variance portfolio? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

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