Assume Stocks A and B have the following characteristics stock expected return standard deviation a 9 4 33 4 b 15 4 62 4 The covariance between the returns on the two stocks is 0014 a Suppose an investor holds a portfolio consisting of only Stock A and Stock B Find the portfolio weights, X A and X B , such that the variance of her portfolio is minimized ( Hint Remember that the sum of the two weights must equal 1 ) (Do not round intermediate calculations and round your answers to 4 decimal places, e g , 32 1616 ) portfolio weights stockA stockB b What is the expected return on the minimum variance portfolio (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e g , 32 16 ) c If the covariance between the returns on the two stocks is 05, what are the minimum variance weights (Do not round intermediate calculations and round your answers to 4 decimal places, e g , 32 1616 ) minimum variance weights stockA stockB d What is the variance of the portfolio in part (c) (Do not round intermediate calculations and round your answer to 4 decimal places, e g , 32 1616 )

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Assume Stocks A and B have the following characteristics: stock expected return standard deviation a 9.4% 33.4% b 15.4% 62.4% The covariance between the returns

Assume Stocks A and B have the following characteristics:

stock expected return standard deviation

a 9.4% 33.4%

b 15.4% 62.4%

The covariance between the returns on the two stocks is .0014.

Suppose an investor holds a portfolio consisting of only Stock A and Stock B. Find the portfolio weights, X_A and X_B, such that the variance of her portfolio is minimized. (Hint: Remember that the sum of the two weights must equal 1.) (Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.)

portfolio weights

stockA

stockB

What is the expected return on the minimum variance portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

If the covariance between the returns on the two stocks is .05, what are the minimum variance weights? (Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.)

minimum variance weights

stockA

stockB

d.	What is the variance of the portfolio in part (c)? (Do not round intermediate calculations and round your answer to 4 decimal places, e.g., 32.1616.)