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Consider the following probability distribution for stocks A and B: State Probability Return on Stock A Return on Stock B 1 0.10 10 % 8
Consider the following probability distribution for stocks A and B:
State | Probability | Return on Stock A | Return on Stock B | ||||||
1 | 0.10 | 10 | % | 8 | % | ||||
2 | 0.20 | 13 | % | 7 | % | ||||
3 | 0.20 | 12 | % | 6 | % | ||||
4 | 0.30 | 14 | % | 9 | % | ||||
5 | 0.20 | 15 | % | 8 | % | ||||
The expected rate of return and standard deviation of the global minimum variance portfolio, G, are __________ and __________, respectively.
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