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Business, 01.03.2021 21:50 dumbdumbkylee

Use the below information to answer the following 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% 99%
5 0.20 15% 8%
The coefficient of correlation between A and B is 0.46
a. What are the expected rate of return and standard deviation of Stocks A and Stock B?
b. If you invest 40% of your money in A and 60% in B, what would be your portfolio's expected rate of return and standard deviation?
c. Let G be the minimum variance portfolio. What are the weights of A and B in G?
d. What are the expected rate of return and standard deviation of the minimum variance portfolio
e. Suppose the coefficient of correlation between A and B becomes-1.0. What are the weights of A and B in the minimum variance portfolio? What are the expected rate of return and standard deviation of the minimum variance portfolio?

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