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D 5 6 1 TWO STOCKS 2 Varying the correlation coefficient Stock A Stock B 14 Mean 3.00% 8.00% Sigma 15.00% 22.00% Correlation 0.3 7
D 5 6 1 TWO STOCKS 2 Varying the correlation coefficient Stock A Stock B 14 Mean 3.00% 8.00% Sigma 15.00% 22.00% Correlation 0.3 7 Sample portfolio computation Stock A proportion Stock B propotion Portfolio mean 12 Portfolio sigma 9 10 11 13 14 Data table varying correlations Sigma 15 16 12 Mean TO -1 -0.9 -0.8 -0.7 -0.6 -0.5 0.4 -0.3 -0.2 -0.1 0 001 02 0.3 0.4 0.5 B C D E 53 34 0.6 0.7 0.8 0.9 35 36 37 1 38 39
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