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Problem 2.1 (15 pts) You are given the following information for two stocks: Stock Expected return Volatility A 0.15 0.21 B 0.18 0.28 A portfolio
Problem 2.1 (15 pts) You are given the following information for two stocks: Stock Expected return Volatility A 0.15 0.21 B 0.18 0.28 A portfolio is 30% invested in stock A and 70% invested in stock B. The correlation be- tween the returns on the stocks is 0.4. The annual effective risk-free rate is 0.03. Stock C has volatility 0.3. Its correlation with stock A and B are 0.15 and 0.25, respectively. Find the required return on stock C. Problem 2.1 (15 pts) You are given the following information for two stocks: Stock Expected return Volatility A 0.15 0.21 B 0.18 0.28 A portfolio is 30% invested in stock A and 70% invested in stock B. The correlation be- tween the returns on the stocks is 0.4. The annual effective risk-free rate is 0.03. Stock C has volatility 0.3. Its correlation with stock A and B are 0.15 and 0.25, respectively. Find the required return on stock C
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Entrepreneurial Finance Strategy, Valuation, And Deal Structure
Authors: Janet Smith, Richard Smith, Richard Bliss
1st Edition
0804770913, 9780804770910
