The stock market of country A has an expected return of 5 percent and a standard deviation
Fantastic news! We've Found the answer you've been seeking!
Question:
- The stock market of country A has an expected return of 5 percent and a standard deviation of the expected return of 8 percent. The stock market of country B has an expected return of 15 percent and a standard deviation of the expected return of 10 percent. Assume that the correlation of expected return between A and B is negative 1.
- a. Calculate the standard deviation of the expected return of a portfolio with half invested in A and half invested in B.
- b. Find the Global Minimum Variance Portfolio.
Related Book For
Financial management theory and practice
ISBN: 978-1439078099
13th edition
Authors: Eugene F. Brigham and Michael C. Ehrhardt
Posted Date: