An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of return of 15.0%. Stock B has an expected return of 15% and a standard deviation of return of 6%. The correlation coefficient between the returns of A and B is 0.80. The risk-free rate of return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice О О 0% 80% 65% О 91%
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of return of 15.0%. Stock B has an expected return of 15% and a standard deviation of return of 6%. The correlation coefficient between the returns of A and B is 0.80. The risk-free rate of return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice О О 0% 80% 65% О 91%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of return of 15.0%. Stock B
has an expected return of 15% and a standard deviation of return of 6%. The correlation coefficient between the returns of A and B is 0.80. The risk-free rate of
return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is
Multiple Choice
О
О
0%
80%
65%
О
91%
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