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A portfolio consists of two stocks. Calculate the weight in Stock A that would minimize the portfolios overall variance. Assume that the correlation between the
A portfolio consists of two stocks. Calculate the weight in Stock A that would minimize the portfolios overall variance. Assume that the correlation between the returns of these stocks is 0.280.
Stock | Weight | Expected Return | St. Deviation |
A | 0.50 | 10.0% | 20.0% |
B | 0.50 | 20.0% | 35.0% |
Multiple Choice
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0.396
-
0.835
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0.721
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0.492
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