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You are given the following information about the stocks in a two-stock portfolio Stock Return Portfolio Weight Standard Deviation Blue Hotel Inc. 22% 45% 9%
- You are given the following information about the stocks in a two-stock portfolio
| Stock | Return | Portfolio Weight | Standard Deviation |
| Blue Hotel Inc. | 22% | 45% | 9% |
| Joys Food Inc. | 25% | 55% | 11% |
The correlation coefficient between the two stocks is 0.5.
Using the information above, calculate the following:
- The expected return of the portfolio,
- The variance of the portfolio,
- The standard deviation of the portfolio.
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
