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Multiple Choice Question Consider a portfolio comprised of two stocks A and B: The estimates shown below are given in percentage format for the expected
Multiple Choice Question
Consider a portfolio comprised of two stocks A and B:
The estimates shown below are given in percentage format for the expected return, E(R), and standard deviation of returns (SD).
Stock Weight E(R) SD
A 0.40 16% 45%
B 0.60 12% 30%
The correlation between stocks A and B is .75.
Calculate the portfolio expected return and standard deviation
B. 13.6%, 12.73% |
D. none of the above |
A. 13.6%, 33.67% |
C. 12.1%, 18.62% |
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