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Mean and standard deviation of the minimum variance

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Suppose you have two stocks in your portfolio, Max and Min. The expected return of Max is 20% and the expected return of Min is 10%. The standard deviation of Max is 40% and the standard deviation of Min is 30%. The correlation between the two securities is zero. Suppose the riskless asset has an expected return of 4%.

A. What is the mean and standard deviation of the minimum variance portfolio combination of Max and Min?

Reference no: EM132485194

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