Question: To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is 1. Use

To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is 1. Use the following information. (Round intermediate calculations to 4 decimal places, e.g. 31.2125 and the final answers to 2 decimal places, e.g. 31.21%.)

State of the economy Probability of occurrence Expected return on stock A in this state Expected return on stock B in this state
High growth 25% 43.0% 58.0%
Moderate 20% 23.0% 28.0%
Recession 55% -13.0% -23.0%

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