The correlation coefficient between the returns of a and b


1. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 25% and a standard deviation of return of 10%. Stock B has an expected return of 11% and a standard deviation of return of 10%.The correlation coefficient between the returns of A and B is -0.5. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock A is _________. Note: Express your answers in strictly numerical terms. For example, if the answer is 5%, write 0.05"

2. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 25% and a standard deviation of return of 10%. Stock B has an expected return of 11% and a standard deviation of return of 10%.The correlation coefficient between the returns of A and B is -0.5. The risk-free rate of return is 5%. The expected return on the optimal risky portfolio is _________. Note: Express your answers in strictly numerical terms. For example, if the answer is 5%, write 0.05"

3. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 25% and a standard deviation of return of 10%. Stock B has an expected return of 11% and a standard deviation of return of 10%.The correlation coefficient between the returns of A and B is -0.5. The risk-free rate of return is 5%. The standard deviation of return on the optimal risky portfolio is _________. Note: Express your answers in strictly numerical terms. For example, if the answer is 5%, write 0.05"

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