An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20%, while the standard deviation on stock B is 15%. The correlation coefficient between the returns on A and B is 0%. The rate of return for stocks A and B is 20% and 10% respectively. The expected return on the minimum-variance portfolio is approximately ________.
A) 10%
B) 13.6%
C) 15%
D) 19.41%

Question

Quizplus · Accepted Answer

W_A= 11eaaae8_8b67_a017_a4b8_691233f2c975_TB6474_00 = 11eaaae8_8b67_a018_a4b8_4d87194fc961_TB6474_00 = 0.36; W_B 0.64; E(r_p) = (.36)(.20) + (.64)(.10) = .136

An Investor Can Design a Risky Portfolio Based on Two