A portfolio is composed of two stocks, A and B$.$ Stock A has a standard deviation of

return of $45\%,$ while stock B has a standard deviation of return of $30\%.$ Stock A

comprises $65\%$ of the portfolio, while stock B comprises $35\%$ of the portfolio. If the

variance of return on the portfolio is $0\mathrm{.}1378,$ the correlation coefficient between the

returns on A and $B$ is

$0\mathrm{.}383$

$0\mathrm{.}451$

$0\mathrm{.}573$

$0\mathrm{.}671$

Consider two perfectly negatively correlated risky securities$,$ A and B$.$ Security A has

an expected rate of return of $16\%$ and a standard deviation of return of $32\%.$ B has

an expected rate of return of $25\%$ and a standard deviation of return of $65\%.$ The

weight of security $B$ in the minimum$-$variance portfolio is

$33\mathrm{.}0\%$

$37\mathrm{.}1\%$

$42\mathrm{.}5\%$

$47\mathrm{.}4\%$

An investor can design a risky portfolio based on two stocks, A and B$.$ Stock A has an

expected return of $18\%$ and a standard deviation of return of $37\%.$ Stock B has an

expected return of $23\%$ and a standard deviation of return of $45\%.$ The correlation

coefficient between the returns of A and $B$ is $0\mathrm{.}43.$ The risk$-$free rate of return is $5\%.$

The expected return on the optimal risky portfolio is approximately

$($Hint:

Find weights first.$)$

$16\mathrm{.}9\%$

$18\mathrm{.}3\%$

$20\mathrm{.}7\%$

$22\mathrm{.}4\%$