Consider the Following Probability Distribution for Stocks a and B

question 48

Multiple Choice

Consider the following probability distribution for stocks A and B: $\begin{array}{cccc}\text { State } & \text { Probability } & \text { Return on Stock A } & \text { Return on Stock B } \\1 & 0.10 & 10 \% & 8 \% \\2 & 0.20 & 13\% & 7\% \\3 & 0.20 & 12\%& 6\% \\4 & 0.30 & 14\%& 9\% \\5 & 0.20 & 15\% & 8 \%\end{array}$
The expected rate of return and standard deviation of the global minimum variance portfolio, G, are __________ and __________, respectively.

• A) 10.07%; 1.05%
• B) 8.97%; 2.03%
• C) 10.07%; 3.01%
• D) 8.97%; 1.05%

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