Investment Analysis question

Question

Consider the following probability distribution for stocks A and B:

State Probability Return on Stock A R on Stock B

1 .10 10% 8%

2 .20 13% 7%

3 .20 12% 6%

4 .30 14% 9%

5 .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 correct answer to the first question is © 10.07%; 1.05%. The correct answer to the second question is (b) 9.04%; 1.05%. I hope this clears up any confusion. Let me know if you have any other questions!