Stock S Has an Expected Return of 8 Percent and a Standard

question 86

Multiple Choice

Stock S has an expected return of 8 percent and a standard deviation of 20 percent. Stock B has an expected return of 3 percent and a standard deviation of 12 percent. If the correlation of the two stocks is 0.15, what is the expected return of the minimum variance portfolio?

• A) 15.40%
• B) 17.71%
• C) 4.15%
• D) 10.37%
• E) 6.91%

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Definitions:

Multiple Coefficient

Often refers to the coefficient of determination in multiple regression that measures the proportion of the variance in the dependent variable predictable from the independent variables.

SST

In the context of statistical analysis, particularly ANOVA, this can refer to the Total Sum of Squares, which measures the total variation in the data. NO.

Categorical Independent Variable

An independent variable with categorical data.

Dependent Variable

A variable in an experiment or study whose changes depend on the manipulation of the independent variables.