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The table below shows you the expected return and standard deviation of two stocks A and B and the covariance between two stocks. Expected return
The table below shows you the expected return and standard deviation of two stocks A and B and the covariance between two stocks.
Expected return | standart dev. of return | |
stock A | 10 % | 20 % |
stock B | 25 % | 40 % |
covariance (A,B) | -0,0500 |
a) Compute the correlation coefficient between two stocks
b) Compute expected return and standard deviation of a portfolio composed of %40 of stock A and %60 of stock B.
c) Compute the vaiance of the portfolio (%40 - %60 proportion)
d) Compute the minimum variance portfolio
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