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A stock portfolio has an expected return of 12% and a standard deviation of 20%. A...

A stock portfolio has an expected return of 12% and a standard deviation of 20%. A bond portfolio has an expected return of 6% and a standard deviation of 9%. The two portfolios have a correlation coefficient of 0.3. T-Bills have an expected return of 2%. Your coefficient of risk aversion is 7.

  1. What is the expected return and standard deviation of the minimum variance portfolio?

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jeff jeffy answered 4 months ago
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