Calculate the weights of stock a and stock b

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Reference no: EM133072009

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 and final answers to 2 decimal places, e.g. 31.21%.)

State of the economy

Probability of
occurrence

Expected return on
stock A in this state

Expected return on
stock B in this state

High growth

25%

42.0%

57.0%

Moderate growth

20%

22.0%

27.0%

Recession

55%

- 12.0%

- 22.0%

Weight of stock A

enter weight of stock A in percentages  %

Weight of stock B

enter weight of stock B in percentages  %

Reference no: EM133072009

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