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An investor is trying to create a MINVAR (minimum variance) portfolio based on two stocks, X and Y. The annual return on stock X is
| An investor is trying to create a MINVAR (minimum variance) portfolio based on two stocks, X and Y. |
| The annual return on stock X is 8.00%, and on stock Y is -3.00%. |
| The standard deviation of annual return on stock X is 13.00%, and on stock Y is 10.00%. |
| The correlation coefficient between the returns on X and Y is -0.65. |
| How much is the annual return of the MINVAR portfolio? |
| Enter your answer in the following format: + or - 0.1234 |
| Hint: Answer is between 0.0149 and 0.0181 |
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Integral Green Zimbabwe An African Phoenix Rising
Authors: Elizabeth Mamukwa , Ronnie Lessem , Alexander Schieffer
1st Edition
1472438191, 1472438205, 9781472438201
