For the stocks A and B you observe the following variables based on monthly returns A B E r 9 11 9 11 4 92 4 92 Volatility ( ) 12 61 12 61 3 15 3 15 Correlation ( ) 0 52890 5289 0 52890 5289 You wish to invest 46 15 46 15 in stock A and 53 85 53 85 in stock B Compute the expected portfolio return a...

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For the stocks A and B you observe the following variables based on monthly returns: A B

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For the stocks A and B you observe the following variables based on monthly returns:

	A	B
????[????]E[r]	9.11%9.11%	4.92%4.92%
Volatility (????σ)	12.61%12.61%	3.15%3.15%
Correlation (????ρ)	0.52890.5289	0.52890.5289

You wish to invest 46.15%46.15% in stock A and 53.85%53.85% in stock B.

Compute the expected portfolio return and portfolio volatility. (rounded to two decimal places)

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Corporate Finance Core Principles And Applications

ISBN: 9781260571127

6th Edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan

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Posted Date: Mar 21, 2023 06:22 AM

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For the stocks A and B you observe the following variables based on monthly returns: A B

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