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Create a portfolio using the three stocks and information below: Expected Return Standard Deviation Weight in...

Create a portfolio using the three stocks and information below:

Expected Return

Standard Deviation

Weight in Portfolio

Stock A

35.00%

28.00%

39.00%

Stock B

34.00%

25.00%

25.00%

Stock C

26.00%

21.00%

36.00%

----------------------

----------------------

----------------------

----------------------

Correlation (A,B)

0.4300

----------------------

----------------------

Correlation (A,C)

0.9700

----------------------

----------------------

Correlation (B,C)

0.2600

----------------------

----------------------

all answered exept the last two question

(Do not round intermediate calculations. Record your answers in decimal form and round your answers to 4 decimal places. Ex. x.xxxx)

What is the variance of A? 0.0784

What is the variance of B? 0.0625

What is the variance of C? 0.0441

What is the Correlation (A,A)? 1

What is the Correlation (B,B)? 1

What is the Correlation (C,C)? 1

What is the Covariance (A,A)? 0.0784

What is the Covariance (A,B)? 0.0301

What is the Covariance (A,C)? 0.05703

What is the Covariance (B,A)? 0.0301

What is the Covariance (B,B)? 0.0625

What is the Covariance (B,C)? 0.01365

What is the Covariance (C,A)? 0.05703

What is the Covariance (C,B)? 0.01365

What is the Covariance (C,C)? 0.0441

What is the expected return on the portfolio above? 0.3151

What is the variance on the portfolio above?

What is the standard deviation on the portfolio above?

Solutions

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