Question 7 The expected rates of return of stocks A and B are closest to _____ and _____, respectively.

A 5.00%; 8.00%

B -8.0%; 9.00%

C 8.00%; 4.00%

D 0.8%; 5.35%

Question 8 The variances of stocks A and B are closest to _____ and _____, respectively.

A 0.37%; 0.79%

B 0.46%; 0.87%

C 0.53%; 0.48%

D 7.28%; 6.94%

Question 9 The coefficient of correlation between A and B is closest to

A 0.

B -0.03.

C -0.31.

D -0.41.

E -0.57

Question 10 If you invest 80% of your money in A and 20% in B, what would be your portfolio's expected rate of return and standard deviation?

A 3.56%; 5.99%

B 3.56%; 0.29%

C 1.71%; 5.41%

D 1.71%; 7.22%

E None of the options 6

Question 11 The expected rate of return and standard deviation of the global minimum variance portfolio, GMV, are closest to __________ and __________, respectively.

A 3.00%; 3.88%

B 4.97%; 4.03%

C 3.15%; 3.86%

D 5.57%; 4.40%

E 4.59%; 5.14%

Question 12 Which of the following portfolio(s) is (are) on the efficient frontier? I The portfolio with 60 percent in A and 40 percent in B. II The portfolio with 50 percent in A and 50 percent in B. III The portfolio with 40 percent in A and 60 percent in B. IV The portfolio with 30 percent in A and 70 percent in B.

A Only I.

B Only IV.

C I and II.

D III and IV.

E I, II, III, and IV.

5 FIN3000DE: INVESTMENTS, SUMMER 2020 Use the following information to answer Questions through 12 Consider the following probability distribution for stocks A and B: State 1 2 3 4 5 Probability 0.20 0.15 0.40 0.10 0.15 Return on Stock A 5.0% 7.0% -8.0% 6.0% 9.0% Return on Stock B 8.0% 5.0% 9.0% -15.0% 6.0%