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Determine the minimum variance portfolio comprised solely

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Question - Stock A has an expected return of 22% and standard deviation of 30%. Stock B has an expected return of 12% and standard deviation of 10%. The correlation between the two is 20%. Determine the minimum variance portfolio comprised solely from these two stocks?

(A) 16.25% A and 83.75% B

(B) 95.45% A and 4.55% B

(C) 4.55% A and 95.45% B

(D) 16.25% B and 83.75% A

Reference no: EM133063451

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