1. Given: i. Stock X: Expected return = 15%, Standard Deviation = 60% ii. Stock Y: Expected return = 25%, Standard Deviation = 20% iii. Correlation between stocks X and Y is 0.4 iv. Portfolio A consists of 30% in X, 90% in Y and -20% in the risk free asset V. The risk free rate is 5% What is the standard deviation of Portfolio A? O [0.320.62 +0.920.22 + 2(0.3)(0.9)(0.4)(0.2)(0.6)] + O [0.320.62 +0.920.22 + 2(0.3)(0.9)(0.4)(0.2)(0.6)]2 O [0.32(0.6) + 0.92(0.2,]1/2 + O[0.320.62 +0.920.22 + 2(0.3)(0.9)(0.4)(0.2)(0.6)]1/2 O [0.32(0.6) + 0.92(0.2) + 2(0.3)(0.9)(0.4)(0.2)(0.6)]1/2 O [0.32(0.6) + 0.92(0.2) + 2(0.3)(0.9)(0.4)(0.2)(0.6)] None of the above Given: - The CAPM holds - The market has an expected return of 10% - The market has a standard deviation of 20% The risk free rate is 5% - Apple makes up 4% of the market - Apple has a standard deviation of 60% - Investors have mean-variance preferences - An optimal portfolio that has a standard deviation of 5% will have what percent of Apple stock in the portfolio? 1% 3% 4% . 6% 2% None of the above