Question
2. Two stocks A and B have return and risk information: E(rA) = 8%, E(rB) = 10%; aA = 12%, aB = 15%; pAB =
2. Two stocks A and B have return and risk information: E(rA) = 8%, E(rB) = 10%; aA = 12%, aB = 15%; pAB = 0.6. The two stocks are used to construct a minimum variance portfolio. Answer the following questions:
2.1. What is the weight of stock A of the minimum variance portfolio?
2.2. What is the expected return of the minimum variance portfolio?
2.3. What is the standard deviation of the minimum variance portfolio?
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Capital Markets Institutions Instruments And Risk Management
Authors: Frank J. Fabozzi
5th Edition
0262029480, 9780262029483
