Business, 12.10.2020 15:01 RiddleRider
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 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 0.4. The risk-free rate of return is 5%. The standard deviation of the returns on the optimal risky portfolio is :
a. 25.5%
b. 22.3%
c. 21.4%
d. 20.7%
Answers: 2
![SD \ Portfolio = [wA^2\times SDA^2+wB^2\times SDB^2+2\times wA\times wB\times SDA\times SDB\times Cor(A,B)]^{0.5}](/tpl/images/0799/7094/4b0df.png)
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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected retur...
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