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Consider two risky stocks. Stock A has an expected return of 14 percent and a standard deviation of 14. Stock B has an expected return
Consider two risky stocks. Stock A has an expected return of 14 percent and a standard deviation of 14. Stock B has an expected return of 10 percent and a standard deviation of 13 percent. The correlation coefficient between the two stocks is 0.8. What is the expected return of a portfolio where 70 percent of the capital is invested in stock A and 30 percent is invested in stock B?
a) | 12.8 | |
b) | 15.5 | |
c) | 9.4 | |
d) | 14.5 | |
e) | 15.1 |
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