Question
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
-
0.396
-
0.835
-
0.721
-
0.492
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Financial Accounting and Reporting a Global Perspective
Authors: Michel Lebas, Herve Stolowy, Yuan Ding
4th edition
978-1408066621, 1408066629, 1408076861, 978-1408076866
