Question: Stocks Weights Beta Expected Return (annual) Standard Deviation of returns Correlation Coefficient ABC 30% 1.4 18% 22% -0.24 DEF 70% 0.7 8% 12% If the

Stocks

Weights

Beta

Expected Return (annual)

Standard Deviation of returns

Correlation Coefficient

ABC

30%

1.4

18%

22%

-0.24

DEF

70%

0.7

8%

12%

If the risk free rate is 1.00% and the return on S&P 500 is 6%.

What is the required rate of return of the portfolio?

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