The expected return (ER) for Stock A is 45% and the expected return for Stock B is 32% while the standard deviation (SD) for A is 37% and the standard deviation for B is 29%.  The CORR(A,B) equals 0.2.                      Find the minimum variance portfolio combination (round to the nearest whole number like 52.5%=53% and 52.4% = 52%).  In other words, how much do you invest in stock B for the minimum variance 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
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Minimum Variance Portfolio:

The expected return (ER) for Stock A is 45% and the expected return for Stock B is 32% while the standard deviation (SD) for A is 37% and the standard deviation for B is 29%.  The CORR(A,B) equals 0.2.                     

Find the minimum variance portfolio combination (round to the nearest whole number like 52.5%=53% and 52.4% = 52%).  In other words, how much do you invest in stock B for the minimum variance portfolio?

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