Investment Analysis question

Question

Consider the following probability distribution for stocks A and B:

*Second Column: Probability

**Third Column: Return on Stock A

***Fourth Column: Return on Stock B

State
1	0.10	10%	8%
2	0.20	13%	7%
3	0.20	12%	6%
4	0.30	14%	9%
5	0.20	15%	8%

The expected rate of return and standard deviation of the global minimum variance portfolio, G, are __________ and __________, respectively.

a. 10.07%; 3.01%

b. 9.04%; 1.05%

c. 10.07%; 1.05%

d. None of the options are correct.

e. 8.97%; 2.03%

Answer 1

The expected rate of return and standard deviation of the global minimum variance portfolio (GMV) are 10.07% and 1.05%, respectively . Therefore, the correct answer is C.