Question
A share of IBM has an expected return of 12% and a standard deviation of 15%. A share of Coca-Cola (KO) has an expected return
A share of IBM has an expected return of 12% and a standard deviation of 15%. A share of Coca-Cola (KO) has an expected return of 16% and a standard deviation of 22%. Assuming the two stocks have a correlation of 0.4, what portfolio weights would be required to produce an expected return of 14%? At these weights, what is the standard deviation of returns for this portfolio?
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Authors: Michael J. Harrison
1st Edition
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