Question: Problem 5 Stock 1 has an expected return of 7% and a standard deviation of 37%. Stock 2 has an expected return of 10% and

Problem 5

Stock 1 has an expected return of 7% and a standard deviation of 37%. Stock 2 has an expected return of 10% and a standard deviation of 20%. Their correlation is -0.33.

Part 1: What is the weight on stock 1 in the minimum variance portfolio? _____(3 decimals)

Part 2: What is the standard deviation of the minimum variance portfolio? ______(3 decimals)

Part 3: What is the expected return of the minimum variance portfolio? ______(3 decimals)

(Please show how you got each answer in excel)

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