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 Probability of occurrence 25% 20% 55% Expected return on stock A in this state 44.0% 24.0% -14.0% Expected return on stock B in this state 59.0% 29.0% -24.0%
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 Probability of occurrence 25% 20% 55% Expected return on stock A in this state 44.0% 24.0% -14.0% Expected return on stock B in this state 59.0% 29.0% -24.0%
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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![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
25%
20%
55%
Expected return on
stock A in this state
44.0%
24.0%
-14.0%
%
%
Expected return on
stock B in this state
59.0%
29.0%
-24.0%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F3efb051d-d99a-4dfe-b05f-1bcfe2285491%2F809ca03a-8627-4ee2-a06a-590f616bafe7%2Fg1arl4f_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
25%
20%
55%
Expected return on
stock A in this state
44.0%
24.0%
-14.0%
%
%
Expected return on
stock B in this state
59.0%
29.0%
-24.0%
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