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Assume that investor I holds a portfolio P consisting of stock A and stock B. Stock A has an expected return of 8% and a
Assume that investor I holds a portfolio P consisting of stock A and stock B. Stock A has an expected return of 8% and a standard deviation of
15.1%. Stock B has an expected return of 15% and a standard deviation of 13.3%. Stock A and Stock B are perfectly negatively correlated. There
is no risk-free asset. I minimizes the risk of her portfolio. What should be the weight for stock A?
15.1%. Stock B has an expected return of 15% and a standard deviation of 13.3%. Stock A and Stock B are perfectly negatively correlated. There
is no risk-free asset. I minimizes the risk of her portfolio. What should be the weight for stock A?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 6th Edition
324664559, 978-0324664553
