The following information are available: [3] Stock A Stock B Expected Return 16% 12% Standard Deviation 5% 8% Coefficient of Correlation 0.60 What is the co-variance between stock A & B? What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?

The following information are available: [3] Stock A Stock B Expected Return 16% 12% Standard Deviation 5% 8% Coefficient of Correlation 0.60 What is the co-variance between stock A & B? What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?

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 3P: Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...

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Question

The following information are available: [3]

	Stock A	Stock B
Expected Return	16%	12%
Standard Deviation	5%	8%
Coefficient of Correlation	0.60

What is the co-variance between stock A & B?
What is the expected return and risk of a portfolio in which A and B have weights of 0.60 and 0.40 respectively?

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