D Question ! Assume that the CAPM halds. Consider a stock market there consists of only two pitty securites stock I and stock 2, with the the following expected retums (mond Stedord, deviations of retary Coh 0.25, 01 020, H 0.15.02.2010 Table I shart the expected return and standard desection for at assets, to f (the entries for Arsee A ore lett. Intentamally Honk) These assets are portfolio Consthy of the risk-free asser, Stock I, and Stack 2. in varying quentures which may be portone, negatite, or zero) Table 1 Assec Expected Return Stratar detta. A B m6 0.06000 0. 18620 0.23 0db 0.1LO 96 0.1700) 0.11405 0.16900 0.09124 0.0176 E F O). Assee D has zero investment in the risk-free assec. Determine the portfolio weights of Stack and Stack 2 in Assec D. b). What is the correlation between the rewry of Stack 1 and 2 . ? c). Asser A is the minimum variance perffedis formen from stacks I and 2 only. is show there the weige af Stack 2 in assec A is given by : W, - 26,25 82, - 0,2 Charbelwech SEKS od 2. D Question ! Assume that the CAPM halds. Consider a stock market there consists of only two pitty securites stock I and stock 2, with the the following expected retums (mond Stedord, deviations of retary Coh 0.25, 01 020, H 0.15.02.2010 Table I shart the expected return and standard desection for at assets, to f (the entries for Arsee A ore lett. Intentamally Honk) These assets are portfolio Consthy of the risk-free asser, Stock I, and Stack 2. in varying quentures which may be portone, negatite, or zero) Table 1 Assec Expected Return Stratar detta. A B m6 0.06000 0. 18620 0.23 0db 0.1LO 96 0.1700) 0.11405 0.16900 0.09124 0.0176 E F O). Assee D has zero investment in the risk-free assec. Determine the portfolio weights of Stack and Stack 2 in Assec D. b). What is the correlation between the rewry of Stack 1 and 2 . ? c). Asser A is the minimum variance perffedis formen from stacks I and 2 only. is show there the weige af Stack 2 in assec A is given by : W, - 26,25 82, - 0,2 Charbelwech SEKS od 2