Question

The investor invested in stocks and bonds to form a minimum variance portfolio.
The return and standard deviation is as follows:
Expected return
14%
Standard deviation
40%
Stock
Bond
8%
30%
The correlation between returns of the stock and bond is 0.06.
Calculate the minimum variance portfolio's expected return.
(A)The expected return of the minimum variance portfolio is 11.00%.
(B) The expected return of the minimum variance portfolio is 14.28%.
(C) The expected return of the minimum variance portfolio is 8.36%.
(D) The expected return of the minimum variance portfolio is 10.11%.​

Answer 1

Answer:

D.

Explanation:

The expected return of the minimum variance portfolio is 10.11%.