Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Expected return Standard deviation 7.66% 10.07%

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an
international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two
stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio?
Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.
Expected return
Standard deviation
7.66 %
10.07%
Transcribed Image Text:Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Expected return Standard deviation 7.66 % 10.07%
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