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Suppose that we have two stocks A and B, with information as follows: Stock A B Expected return 20% 12% Standard Deviation 30% 15% 4.
Suppose that we have two stocks A and B, with information as follows: Stock A B Expected return 20% 12% Standard Deviation 30% 15% 4. The correlation coefficient between returns of stock A and stock B is 0.1. What are the investment proportions (portfolio weights) in the minimum-variance portfolio of the two stocks, and what is the expected value and standard deviation of the portfo- lio's rate of return
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