You are looking to construct a portfolio of stocks and corporate bonds that is subject to...
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You are looking to construct a portfolio of stocks and corporate bonds that is subject to the lowest amount of risk possible. After some research you find that the stock market index (S) and a corporate bond fund (B) have the following properties: Asset S B Expected return 0.09 0.03 The correlation between S and B (PSB) is 0.23. σ 0.2 0.1 What portfolio weight should you assign to stocks to obtain the global minimum variance portfolio? Note: When inputting your solution, make sure to express your answer as a decimal and not a percentage. For example, a portfolio weight of 1% should be input as 0.01, a weight of 10% should be input as 0.10, and a weight of 123% should be input as 1.23. Answer to at least four decimal places. You are looking to construct a portfolio of stocks and corporate bonds that is subject to the lowest amount of risk possible. After some research you find that the stock market index (S) and a corporate bond fund (B) have the following properties: Asset S B Expected return 0.09 0.03 The correlation between S and B (PSB) is 0.23. σ 0.2 0.1 What portfolio weight should you assign to stocks to obtain the global minimum variance portfolio? Note: When inputting your solution, make sure to express your answer as a decimal and not a percentage. For example, a portfolio weight of 1% should be input as 0.01, a weight of 10% should be input as 0.10, and a weight of 123% should be input as 1.23. Answer to at least four decimal places.
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Related Book For
Fundamentals Of Financial Management
ISBN: 9781337902571
Concise 10th Edition
Authors: Eugene F. Brigham, Joel F. Houston
Posted Date:
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