he expected return (ER) for Stock A is 45% and the expected return for Stock B is 32% while the standard deviation (SD) for A is 37% and the standard deviation for B is 29%. The CORR(A,B) equals 0.2. The minimum variance portfolio STANDARD DEVIATION is:

he expected return (ER) for Stock A is 45% and the expected return for Stock B is 32% while the standard deviation (SD) for A is 37% and the standard deviation for B is 29%. The CORR(A,B) equals 0.2. The minimum variance portfolio STANDARD DEVIATION is:

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter3: Risk And Return: Part Ii

Section: Chapter Questions

Problem 3P: Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...

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Minimum Variance Portfolio:

The expected return (ER) for Stock A is 45% and the expected return for Stock B is 32% while the standard deviation (SD) for A is 37% and the standard deviation for B is 29%. The CORR(A,B) equals 0.2.

The minimum variance portfolio STANDARD DEVIATION is:

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