Multiple Choice
An investor can design a risky portfolio based on two shares, A and B. The standard deviation of return on Share A is 20% while the standard deviation on Share B is 15%. The expected return on Share A is 20% while on Share B it is 10%. The correlation coefficient between the return on A and B is 0%. The expected return on the minimum variance portfolio is approximately ________.
A) 10.00%
B) 13.60%
C) 15.00%
D) 19.41%
Correct Answer:
Verified
Correct Answer:
Verified
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