Question: State Probability Return on stock A Return on stock B 1 0.10 10% 8% 2 0.20 13% 7% 3 0.20 12% 6% 4 0.30 14%

State

Probability

Return on stock A

Return on stock B

1

0.10

10%

8%

2

0.20

13%

7%

3

0.20

12%

6%

4

0.30

14%

9%

5

0.20

15%

8%

Form the global minimum variance portfolio G with A and B. What is the expected return and standard deviation of G?

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