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The annual return of stock A has mean 10% and standard deviation 15%. The annual return of stock B has mean 18% and standard deviation 30%. The two returns are correlated with correlation coefficient 0.1. Consider portfolios with 100w% invested in A and 100(1 - w)% in B. For w elementof [-0.5, 1.5], construct the mean standard deviation diagram (credits are not given to hand-drawn plots). What is w for the minimum variance portfolio? What are the mean and standard deviation of the minimum variance portfolio annual return?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92323995

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