Stock A has an expected return of 20% and a standard deviation of 35 %. Stock B has an expected return of 11% and a standard deviation of 12%. The risk-free rate is 7.7% and the correlation between Stock A and Stock B is 0.9. Build the optimal risky portfolio of Stock A and Stock B. What is the standard deviation of this portfolio?

Stock A has an expected return of 20% and a standard deviation of 35 %. Stock B has an expected return of 11% and a standard deviation of 12%. The risk-free rate is 7.7% and the correlation between Stock A and Stock B is 0.9. Build the optimal risky portfolio of Stock A and Stock B. What is the standard deviation of this portfolio?

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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