Question: Question 8 1 / 1 pts You are given the following information: stock A stock B Market variance 18% 38% 14% return 10% 13% 7%

Question 8 1 / 1 pts You are given the following

Question 8 1 / 1 pts You are given the following information: stock A stock B Market variance 18% 38% 14% return 10% 13% 7% beta 1.70 0.16 tracking error 14% 25% The risk-free rate is 0.97%. The correlation between A and B is 0.09. Suppose you invest 0.41 in A and 1-0.41 in B, compute the M^2 of the resulting portfolio. 0.05 0.04 margin of error +/- 0.03

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