Question
You can form a portfolio of two assets, A and B, whose returns have the following characteristics: Stock Expected Return Standard Deviation Correlation A 10%
You can form a portfolio of
two assets, A and B, whose returns have the following
characteristics:
Stock
Expected Return
Standard Deviation
Correlation
A
10%
20%
0.5
B
15%
40%
If you demand an expected return of 12%, what are the portfolio weights? What is the portfolios
standard deviation?
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Quantum Economics And Finance
Authors: David Orrell
3rd Edition
1916081630, 978-1916081635
