Question: Given the following: Stock A Expected return= 0.30, standard deviation = 0.40 Stock B Expected return= 0.14, standard deviation = 0.25 If stock A and

Given the following:

  • Stock A Expected return= 0.30, standard deviation = 0.40
  • Stock B Expected return= 0.14, standard deviation = 0.25

If stock A and stock B have a positive correlation of 0.48, which portfolio represents the minimum variance portfolio?

  1. Weight of Stock A in the minimum variance portfolio: _____
  2. Weight of Stock B in the minimum variance portfolio: _____
  3. The expected return and standard deviation of this minimum variance portfolio: ______ and ________

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