Stock A has an expected annual return of 19% and a volatility of 30%. Stock B has an expected annual return of 12% and a volatility of 21%. The correlation of the returns of the two stocks is equal to 0.42. Find the expected return of the efficient portfolio that has the same volatility as Stock B. 15.04% 14.14% 17.75% 15.94% 16.85%

Stock A has an expected annual return of 19% and a volatility of 30%. Stock B has an expected annual return of 12% and a volatility of 21%. The correlation of the returns of the two stocks is equal to 0.42. Find the expected return of the efficient portfolio that has the same volatility as Stock B. 15.04% 14.14% 17.75% 15.94% 16.85%

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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