Question 19 To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient...
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Question 19
To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is -1. Use the following information.
(Round intermediate calculations to 4 decimal places, e.g. 31.2125 and the final answers to 2 decimal places, e.g. 31.21%.)
State of the Probability of Expected return on Expected return on
economy
occurrence
stock A in this state stock B in this state
High growth
25%
40.0%
57.0%
Moderate
20%
19.0%
27.0%
Recession
55%
-7.0%
-17.0%
Weights of stock A
Weights of stock B

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