Question: Ex. Following are the expected return (E) and standard deviation () of two stocks. Stock 1 E (%) 10 o (%) 30 2 20 40

Ex. Following are the expected return (E) and standard deviation ()

Ex. Following are the expected return (E) and standard deviation () of two stocks. Stock 1 E (%) 10 o (%) 30 2 20 40 Compute E and o of a portfolio that is invested 60% in stock 1 and the rest in stock 2, if the two stocks have a correlation of: (a) +1 (b) -1 (Answer: 0= 2%) = (c) 0 (Answer: 0= 24.08%) (d) For case (b), find the weights of the two stocks in the zero-variance portfolio, and the expected return of this portfolio

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