Quiz2 Generic without solution 2001

Quiz2 Generic without solution 2001 - FINANCE 100 Corporate...

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FINANCE 100 Corporate Finance Professor Roberts Sample Quiz #2 NAME: SECTION: Question Maximum Student Score Q u e s t i o n 1 5 0 Question 2 50 TOTAL 100 Instructions: ¾ You may bring one 8.5x11 inch sheet of paper to the exam with writing on both sides.
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Question 1: (50 points) Consider the following information concerning the expected return and standard deviation of two stocks: Expected Return Standard Deviation Stock A 8% 30% Stock B 16% 20% a) Compute the expected return and standard deviation of a portfolio that is 70% invested in stock A (and therefore, 30% invested in stock B) assuming the correlation between the asset returns is –0.3. (20 points) b) What is the standard deviation of the global minimum variance portfolio and what are the corresponding portfolio weights? (20 points) 2
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This note was uploaded on 10/06/2010 for the course FNCE 100 taught by Professor Jaffe during the Spring '10 term at UNC Asheville.

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Quiz2 Generic without solution 2001 - FINANCE 100 Corporate...

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