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Stocks A and B have a correlation coefficient of -0.8. The stocks' expected returns and standard deviations are in the table below. A portfolio consisting
Stocks A and B have a correlation coefficient of -0.8. The stocks' expected returns and standard deviations are in the table below. A portfolio consisting of 40% of stock A and 60% of stock B is constructed.
Stock | Expected Return | Standard Deviation |
A | 20% | 25% |
B | 15% | 19% |
Refer to Exhibit 8.14. What percentage of stock A should be invested to obtain the minimum risk portfolio that contains stock A and B?
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