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8 Mar 2019
Consider the following data on returns (R), standard deviation (Ï), and correlations (r) for two stocks:
R1 = 10%, Ï1 = 4%, R2 = 20%, Ï2 = 6%, r12 = -1.0
Find the weights of stocks 1 and 2 (W1 and W2) that will yield the minimum variance of a portfolio of stocks 1 and 2.
1. W1=0.60, W2=0.40
2. W1=0.40, W2=0.60
3. W1=0.50, W2=0.50
4. W1=0.70, W2=0.30
Consider the following data on returns (R), standard deviation (Ï), and correlations (r) for two stocks:
R1 = 10%, Ï1 = 4%, R2 = 20%, Ï2 = 6%, r12 = -1.0
Find the weights of stocks 1 and 2 (W1 and W2) that will yield the minimum variance of a portfolio of stocks 1 and 2.
| 1. | W1=0.60, W2=0.40 | |
| 2. | W1=0.40, W2=0.60 | |
| 3. | W1=0.50, W2=0.50 |
4. W1=0.70, W2=0.30
Nestor RutherfordLv2
9 Mar 2019
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