6 exp return and the same risk or standard deviation as being 100 in IBM

6 exp return and the same risk or standard deviation

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40% in Homestake has a 10.6% exp. return and the same risk or standard deviation as being 100% in IBM. Minimum variance portfolio, 80% in IBM and 20% in Homestake Figure 1 Figure 2 Portfolio Expected Return versus Standard Deviation 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% Standard Deviation Expected Return Zero Correlation Corr. Equal to 1.0 Corr. Equal to -1.0
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EMBA 807 Corporate Finance Dr. Rodney Boehme Page 6 2
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