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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

  • 0.396

  • 0.835

  • 0.721

  • 0.492

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