Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 25 percent, and Stock I, an International company, with an expected return of 6 percent and a standard deviation of 16 percent. The correlation between the two stocks is -14. What is the weight of each stock in the minimum variance portfolio? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 25 percent, and Stock I, an International company, with an expected return of 6 percent and a standard deviation of 16 percent. The correlation between the two stocks is -14. What is the weight of each stock in the minimum variance portfolio? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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:Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 25 percent, and Stock I, an
international company, with an expected return of 6 percent and a standard deviation of 16 percent. The correlation between the two
stocks is -14. What is the weight of each stock in the minimum variance portfolio? (Do not round intermediate calculations. Round
your answers to 4 decimal places.)
Answer is complete but not entirely correct.
Weight of Stock D
Weight of Stock I
0.2932
0.7068
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