Stock A has an expected annual return of 29% and a volatility of 38%. Stock B has an expected annual return of 39% and a volatility of 44%. Two portfolios are created using only shares of Stock A and Stock B. The two portfolios have expected returns of 32.30% and 37.40% and have the same Sharpe Ratio. The risk-free rate is 2.9%. Find the correlation between the returns of Stock A and Stock B. O 0.457 0.387 0.317 O 0.422 0.352
Stock A has an expected annual return of 29% and a volatility of 38%. Stock B has an expected annual return of 39% and a volatility of 44%. Two portfolios are created using only shares of Stock A and Stock B. The two portfolios have expected returns of 32.30% and 37.40% and have the same Sharpe Ratio. The risk-free rate is 2.9%. Find the correlation between the returns of Stock A and Stock B. O 0.457 0.387 0.317 O 0.422 0.352
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
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Transcribed Image Text:Stock A has an expected annual
return of 29% and a volatility of
38%. Stock B has an expected
annual return of 39% and a volatility
of 44%. Two portfolios are created
using only shares of Stock A and
Stock B. The two portfolios have
expected returns of 32.30% and
37.40% and have the same Sharpe
Ratio. The risk-free rate is 2.9%.
Find the correlation between the
returns of Stock A and Stock B.
0.457
0.387
0.317
0.422
O 0.352
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