(Finding dominating portfolio) Consider the data for Stock A and Stock B below.

A portfolio composed of 90% of Stock A and 10% Stock B has an expected return of 7.6% and a standard deviation of 20.78%. Find another portfolio with the same standard deviation and a higher return. (You can do this by trial and error, but you can also use Solver.)

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1 A 2 Expected return 3 Variance B C Stock A Stock B 7.00% 13.00% 0.0638 0.1443 25.25% 37.99% Covariance of returns (0.0552) 4 Sigma 5