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State Probability Return on stock A Return on stock B 1 0.10 10% 8% 2 0.20 13% 7% 3 0.20 12% 6% 4 0.30 14%
| State | Probability | Return on stock A | Return on stock B |
| 1 | 0.10 | 10% | 8% |
| 2 | 0.20 | 13% | 7% |
| 3 | 0.20 | 12% | 6% |
| 4 | 0.30 | 14% | 9% |
| 5 | 0.20 | 15% | 8% |
Form the global minimum variance portfolio G with A and B. What is the expected return and standard deviation of G?
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School Finance Elections
Authors: Don E. Lifto, Bradford J. Senden, Daniel A. Domenech
2nd Edition
