QUESTION 24 An Investor can design a risky portfolio based on two stocks, A and...
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QUESTION 24 An Investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 18% and a standard deviation of return of 18 0% Stock Bhas an expected return of 14% and a standard deviation of return of 13%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 12%. Find the minimum variance portfolio (the weights in stocks A and B). 0% 100% 20%, 80% 30%, 70% 40% 60%
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