part (ii)

[6 marks] Calculate the correlation coefficient between Stock A and Stock B Calculate the weights of Stock A and Stock B in the global minimum variance portfolio. [8 marks) Probability Return Stock A (%) Return Stock B (%) State 0.15 8% 8% 1 0.20 13% 7% 2 0.15 129 6% 3 0.30 14% 9% 4 0.20 16% 11% 5 1.0 E(ra)13.0% E(re)8.4% Std. Dev A 2.449% Std. Deve 1.65%