Consider a portfolio that contains two stocks. Stock "A" has an expected return of 40% and a standard deviation of 59%. Stock "B" has an expected return of 5% and a standard deviation of 40%. The proportion of your wealth invested in stock "A" is 35%. The correlation between the two stocks is -0.25. What is the expected return of the portfolio? Enter your answer as a percentage. Do not include the percentage sign in your answer. Enter your response below rounded to 2 DECIMAL PLACES. Number What is the standard deviation of the portfolio? Enter your answer as a percentage. Do not include the percentage sign in your answer. Enter your response below rounded to 2 DECIMAL PLACES. Number
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We are given: $r_A = 0.40$ $\sigma_A = 0.59$ $r_B = 0.05$ $\sigma_B = 0.40$ $w_A = 0.35$ $w_B = 1 - w_A = 1 - 0.35 = 0.65$ $\rho_{AB} = -0.25$ Show more…
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