Question

15. An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 16.52%, while the standard deviation on stock B is 7.11%. The correlation coefficient between the returns on A and B is -0.2523. The expected return on stock A is 22.75%, while on stock B it is 10.54%. The proportion of the minimum-variance portfolio that would be invested in stock B is approximately ________.

Answer #1

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 25% and a standard
deviation of return of 35%. Stock B has an expected return of 18%
and a standard deviation of return of 28%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 26% and a standard
deviation of return of 39%. Stock B has an expected return of 15%
and a standard deviation of return of 25%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 21% and a standard
deviation of return of 37%. Stock B has an expected return of 16%
and a standard deviation of return of 22%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 16% and a standard
deviation of return of 30%. Stock B has an expected return of 11%
and a standard deviation of return of 15%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 5%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 12% and a standard
deviation of return of 28%. Stock B has an expected return of 9%
and a standard deviation of return of 13%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 5%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design
a risky portfolio based on two stocks, A and B. Stock A has an
expected return of 18% and a standard deviation of return of 34%.
Stock B has an expected return of 13% and a standard deviation of
return of 19%. The correlation coefficient between the returns of A
and B is .5. The risk-free rate of return is 9%. The proportion of
the optimal risky portfolio that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 17% and a standard
deviation of return of 29%. Stock B has an expected return of 12%
and a standard deviation of return of 14%. The correlation
coefficient between the returns of A and B is .4. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 14% and a standard
deviation of return of 26%. Stock B has an expected return of 9%
and a standard deviation of return of 11%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 5%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 22% and a standard
deviation of return of 17%. Stock B has an expected return of 13%
and a standard deviation of return of 4%. The correlation
coefficient between the returns of A and B is .33. The risk-free
rate of return is 9%. The proportion of the optimal risky portfolio
that should be invested in stock A is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 22% and a standard
deviation of return of 20%. Stock B has an expected return of 12%
and a standard deviation of return of 4%. The correlation
coefficient between the returns of A and B is .35. The risk-free
rate of return is 9%. The proportion of the optimal risky portfolio
that should be invested in stock A is...

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