Question: Current Attempt in Progress To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation
Current Attempt in Progress
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 | Probability of occurrence | Expected return on stock A in this state | Expected return on stock B in this state | |||
|---|---|---|---|---|---|---|
| High growth | 25% | 42.0% | 59.0% | |||
| Moderate growth | 20% | 21.0% | 29.0% | |||
| Recession | 55% | -9.0% | -19.0% |
| Weight of stock A | enter weight of stock A in percentages % | |
|---|---|---|
| Weight of stock B | enter weight of stock B in percentages % |
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