Suppose that many stocks are traded in the market and that it is possible to borrow at the risk-free rate, rf. The characteristics of two of the stocks are as follows:

Stock Expected Return Standard Deviation
A 8% 40%
B 13% 60%
Correlation = -1

Calculate the expected rate of return on this risk-free portfolio?

Question

13-06-2024
Business

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Suppose that many stocks are traded in the market and that it is possible to borrow at the risk-free rate, rf. The characteristics of two of the stocks are as follows:

Stock Expected Return Standard Deviation
A 8% 40%
B 13% 60%
Correlation = -1

Calculate the expected rate of return on this risk-free portfolio?

Sagot :

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