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Stock A: Expected Return = 10% Standard Deviation = 20% Stock B: Expected Return = 15% Standard Deviation = 25% Correlation= .2 a) If you

Stock A: Expected Return = 10% Standard Deviation = 20%

Stock B: Expected Return = 15% Standard Deviation = 25%

Correlation= .2

a) If you require an expected return of 12%, what is the composition of your portfolio ? In other word what fraction of your money should be invested in Stock A and Stock B repspectively. What is the standard deviation of your portfolio?

b) What is the composition of the minimum variance portfolio ? What are the mean and standard deviation of the returns of the minimum variance portfolio?

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