Question
Stocks A and B have the following returns: 1 0.09 0.07 2 0.06 0.03 3 0.13 0.04 4 0.05 0.02 5 0.09 0.03 a. What
Stocks A and B have the following returns:
| 1 | 0.09 | 0.07 |
| 2 | 0.06 | 0.03 |
| 3 | 0.13 | 0.04 |
| 4 | 0.05 | 0.02 |
| 5 | 0.09 | 0.03 |
a. What are the expected returns of the two stocks?
b. What are the standard deviations of the returns of the two stocks?
c. If their correlation is 0.46, what is the expected return and standard deviation of a portfolio of 75% stock A and 25% stock B?
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
6th Edition
003025809X, 978-3540014386
