Question
Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows: Stock Expected
Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows:
| Stock | Expected Return | Standard Deviation |
| A | 8% | 12% |
| B | 20% | 24% |
| Correlation = -1 | ||
- What will be the weight of A and B in the minimum risk portfolio consisting of stocks A and B?
- What is the standard deviation of the minimum risk portfolio?
- Suppose that it is possible to borrow at the risk-free rate. What must be the value of the risk-free rate?
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Finance Introduction To Institutions Investments And Management
Authors: Ronald W. Melicher, Edgar A. Norton
11th Edition
0470004460, 978-0470004463
