The investor invested in stocks and bonds to form a minimum variance portfolio. The return and standard deviation is as follows: Expected return Standard deviation Stock 14% 40% Bond 8% 30% The correlation between returns of the stock and bond is 0.06. Calculate the minimum variance portfolio's expected return. (A) The expected return of the minimum variance portfolio is 11.00%. (B) The expected return of the minimum variance portfolio is 14.28%. (C) The expected return of the minimum variance portfolio is 8.36%. (D) The expected return of the minimum variance portfolio is 10.11%.

The investor invested in stocks and bonds to form a minimum variance portfolio. The return and standard deviation is as follows: Expected return Standard deviation Stock 14% 40% Bond 8% 30% The correlation between returns of the stock and bond is 0.06. Calculate the minimum variance portfolio's expected return. (A) The expected return of the minimum variance portfolio is 11.00%. (B) The expected return of the minimum variance portfolio is 14.28%. (C) The expected return of the minimum variance portfolio is 8.36%. (D) The expected return of the minimum variance portfolio is 10.11%.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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