Question
2.Two stocks A and B have return and risk information: E(r A ) = 8%, E(r B ) = 10%; s A = 12%, s
2.Two stocks A and B have return and risk information: E(rA) = 8%, E(rB) = 10%; sA = 12%, sB = 15%; rAB = 0.6. The two stocks are used to construct a minimum variance portfolio. Answer the following questions:
2.1. (0.75 pt) What is the weight of stock A of the minimum variance portfolio?
2.2. (0.75 pts) What is the expected return of the minimum variance portfolio?
2.3. (1 pt) What is the standard deviation of the minimum variance portfolio?
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Introductory Econometrics For Finance
Authors: Chris Brooks
3rd Edition
1107661455, 9781107661455
