Question
The ER for Stock A is 10% and the ER for Stock B is 5.0% while the SD for A is 15% and the SD
The ER for Stock A is 10% and the ER for Stock B is 5.0% while the SD for A is 15% and the SD for B is 6.0%. The CORR(A,B) equals +0.20. The minimum variance portfolio combination (nearest percent) is:
a). 42% in Stock A and 58% in Stock B.
b). 38% in Stock A and 62% in Stock B.
c). 28% in Stock A and 72% in Stock B.
d). 8% in Stock A and 92% in Stock B.
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi, Francesco A. Fabozzi
10th Edition
026204627X, 978-0253337535
