Suppose you have two stocks in your portfolio, Max and Min. The expected return of Max is
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Question:
Suppose you have two stocks in your portfolio, Max and Min. The expected return of Max
is 20% and the expected return of Min is 10%. The standard deviation of Max is 40% and
the standard deviation of Min is 30%. The correlation between the two securities is zero.
Suppose the riskless asset has an expected return of 4%.
A. What is the mean and standard deviation of the minimum variance portfolio combination
of Max and Min?
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