Question: Data- Asset (A) - E(rt)= 0.15, Var(A)= 0.36, Stdev(A)=0.6000 Asset (B) - E(rt)= 0.12, Var(B)= 0.25, Stdev(B)=0.5000 Risk-Free- (rf)= 0.03 Correlation (A,B)= -0.2000 Covariance (A,B)=

Data-

Asset (A) - E(rt)= 0.15, Var(A)= 0.36, Stdev(A)=0.6000

Asset (B) - E(rt)= 0.12, Var(B)= 0.25, Stdev(B)=0.5000

Risk-Free- (rf)= 0.03

Correlation (A,B)= -0.2000

Covariance (A,B)= -0.0600

  • Using the date above, What is the Stdev of the Minimum Variance Portfolio
  • (A) 0.3441
  • (B) 0.5304
  • (C) 0.29
  • (D) 0.529

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