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What should be the weight for stock a

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Assume that investor I holds a portfolio P consisting of stock A and stock B. Stock A has an expected return of 8% and a standard deviation of 15.1%. Stock B has an expected return of 15% and a standard deviation of 13.3%. Stock A and Stock B are perfectly negatively correlated. There is no risk-free asset. I minimizes the risk of her portfolio. What should be the weight for stock A?

Reference no: EM133115058

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