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An analysis of stock market manufactures the following data about the returns of two stocks.

Stock 1 Stock 2
Expected Returns 16% 18%
Standard Deviations 20 30

Suppose that the returns are positively correlated with = 0.90.

Find the mean and standard deviation of the return on a portfolio consisting of an equal investment in each of the two stocks.

 

Econometrics, Economics

  • Category:- Econometrics
  • Reference No.:- M9311348

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