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Exhibit 7.14
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Stocks A and B have a correlation coefficient of -0.8. The stocks' expected returns and standard deviations are in the table below. A portfolio consisting of 40% of stock A and 60% of stock B is constructed.

Stock	Expected Return	Standard Deviation
A	20%	25%
B	15%	19%

Refer to Exhibit 7.14. What percentage of stock A should be invested to obtain the minimum risk portfolio that contains stock A and B?Select one:
a. 35%
b. 42%
c. 58%
d. 65%
e. 72%

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关键词：coefficient correlation information constructed deviations percentage expected invested standard minimum

aaacelia 发表于 2014-10-9 05:45
Exhibit 7.14
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

就是求Var[aA+(1-a)B] 最小时的a如果是求协方差有问题就去看概率论