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Problem 1.2 (20 pts) You are given the following information for two stocks: Stock Expected return Volatility A 0.12 0.11 B 0.11 0.20 A portfolio

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Problem 1.2 (20 pts) You are given the following information for two stocks: Stock Expected return Volatility A 0.12 0.11 B 0.11 0.20 A portfolio is formed from the two stocks. Find the proportion of the stock A that mini- mize the volatility of the portfolio, if 1. (10 pts) the two stocks are uncorrelated; 2. (10 pts) the correlation between the two stocks is -0.2

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