Consider the Following Probability Distribution for Stocks a and B

question 57

Multiple Choice

Consider the following probability distribution for stocks A and B: Let G be the global minimum variance portfolio.The weights of A and B in G are __________ and __________, respectively.

• A)0.40; 0.60
• B)0.66; 0.34
• C)0.34; 0.66
• D)0.77; 0.23
• E)0.23; 0.77

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Definitions:

Standard Normal

A special case of the normal distribution where the mean is 0 and the standard deviation is 1.

10th Percentile

The value below which 10% of observations in a data set fall.

Z Distribution

A normal distribution with a mean of zero and a standard deviation of one, also known as a standard normal distribution.

95th Percentile

A value below which 95% of the data points in a data set fall.