To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%) State of the economy High growth Moderate growth Recession Weight of stock A Weight of stock B Probability of occurrence 30% 25% 45% Expected return on stock A in this state 38.5% 17.5% -5.5% % % Expected return on stock B in this state 55.5% 25.5% -15.5%
To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%) State of the economy High growth Moderate growth Recession Weight of stock A Weight of stock B Probability of occurrence 30% 25% 45% Expected return on stock A in this state 38.5% 17.5% -5.5% % % Expected return on stock B in this state 55.5% 25.5% -15.5%
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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![To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient
is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%)
State of the
economy
High growth
Moderate growth
Recession
Weight of stock A
Weight of stock B
Probability of
occurrence
30%
25%
45%
Expected return on
stock A in this state
38.5%
17.5%
-5.5%
%
%
Expected return on
stock B in this state
55.5%
25.5%
-15.5%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fc4c8dea9-ec5f-4feb-bfb9-5aa4e38cf8cf%2F3de735d1-8eb8-43d0-a99e-9291c6abd665%2Fawzjyoc_processed.jpeg&w=3840&q=75)
Transcribed Image Text:To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient
is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%)
State of the
economy
High growth
Moderate growth
Recession
Weight of stock A
Weight of stock B
Probability of
occurrence
30%
25%
45%
Expected return on
stock A in this state
38.5%
17.5%
-5.5%
%
%
Expected return on
stock B in this state
55.5%
25.5%
-15.5%
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