An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 25%, while the standard deviation on stock B is 18%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on minimum variance portfolio is Minimum WB-0²A/0²A +0²B OA 11.24% OB 13.57% OC 14.61% OD. 16.57%
An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 25%, while the standard deviation on stock B is 18%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on minimum variance portfolio is Minimum WB-0²A/0²A +0²B OA 11.24% OB 13.57% OC 14.61% OD. 16.57%
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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QUESTION 17
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An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 25%, while the
standard deviation on stock B is 18%. The correlation coefficient between the return on A and B is 0%. The standard deviation of
return on minimum variance portfolio is
Minimum WB-02A/0²A +0²B
OA 11.24%
OB 13.57%
OC 14.61%
OD 16.57%
QUESTION 18
A common stock of Pfizer Millelium has an expected return of 16.5 percent. The return on the market is 13.2 percent and the risk-
free rate of return is 15 percent What is the hota of this stock?
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