Question
Suppose that you have the opportunity to buy stock in AT&T and Microsoft. AT&T Microsoft Mean 0.10 0.21 Standard Deviation 0.15 0.25 (a) What is
Suppose that you have the opportunity to buy stock in AT&T and Microsoft.
AT&T Microsoft
Mean 0.10 0.21
Standard Deviation 0.15 0.25
(a) What is the expected return of a portfolio made up of half AT&T and half Microsoft?
(b) Assume the correlation between the two stocks is 0.5. What is the variance of a portfolio made up of half AT&T and half Microsoft?
(c) Now assume that the correlation between AT&T and Microsoft is ?1. Find the weights of the two stocks that produce a minimum risk portfolio. What is the variance of this portfolio?
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Real Estate Finance
Authors: John P. Wiedemer, Keith J. Baker
9th edition
324181426, 324181425, 978-0324181425
