The standard deviation of return on stock A is 15% and the standard deviation on stock B is 15%. The correlation coefficient between the returns on stock A and B is -.25%. The rate of return for stocks A and B is 15% and 15% respectively. What is the standard deviation of return on the minimum-variance portfolio? a) 11.73% b) 12.00% c) 8.80% d) 9.35%

The standard deviation of return on stock A is 15% and the standard deviation on stock B is 15%. The correlation coefficient between the returns on stock A and B is -.25%. The rate of return for stocks A and B is 15% and 15% respectively. What is the standard deviation of return on the minimum-variance portfolio? a) 11.73% b) 12.00% c) 8.80% d) 9.35%

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter3: Risk And Return: Part Ii

Section: Chapter Questions

Problem 1P: The standard deviation of stock returns for Stock A is 40%. The standard deviation of the market...

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