Question
Stock A has a variance 0.1266, Stock B has a variance of 0.1072, and the covariance between the to stocks is -0.013. The expected return
Stock A has a variance 0.1266, Stock B has a variance of 0.1072, and the covariance between the to stocks is -0.013. The expected return for Stock A is 0.086, the expected return for Stock B is 0.059, and the risk-free rate is 0.012. Calculate the weight for Stock B to obtain the optimal risky portfolio.
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International Business Competing In The Global Marketplace
Authors: Charles Hill
14th Edition
1260387542, 9781260387544
