Assume our world of available securities includes two riskystocks, ABC and XYZ, and Treasury-bills. The correlationcoefficient between the two stocks is -0.3. Calculate theproportion, wABC , in the global minimum variance portfolio.
Expected return (%) Standarddeviation (%)
ABC 17.64 24.03
XYZ 33.0 60.54
a.
14.61%
b.
63.12%
c.
80.18%
d.
19.82%
e.
87.66%
Assume our world of available securities includes two risky stocks, ABC and XYZ, and Treasury-bills. The correlation coe
-
answerhappygod
- Site Admin
- Posts: 899603
- Joined: Mon Aug 02, 2021 8:13 am