Suppose that there are many stocks in the security market and that
the characteristics of Stocks A and B are given as follows:
Stock
A
B
Correlation
Expected Return
9%
6%
0.25
Standard Deviation
34%
29%
Determine the investment proportions in the minimum variance
portfolio of the two risky funds and calculate the standard deviation
of its rate of return?
24.62%
26.18%
28.41%
⚫ 22.94%