Portfolio allocates equal funds

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Your portfolio allocates equal funds to the DW Co, and woodpecker, inc, DW Co, stock has an annual return mean and standard deviation of 10 percent and 33 percent, respectively. Woodpecker, inc., stock has an annual return mean and standard deviation of 21 percent and 47 percent, respectively. The return correlation between DW Co. and Woodpecker, inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 2.5 percent?

Reference no: EM131184996

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