Business, 05.11.2019 04:31, jaimefashion12

Consider the following information for three stocks, a, b, and c. the returns on the stocks are positively but not perfectly correlated with one another, i. e., the correlation coefficients are all between 0 and 1. stock a: 10% (expected return), 20% (standard deviation), 1.0 (beta); stock b: 10%, 20%, 1.0; stock c: 12%, 20%, 1.4. portfolio ab has half of its funds invested in stock a and half invested in stock b. portfolio abc has one third of its funds invested in each of the three stocks. the risk-free rate is 5%, and the market is in equilibrium, so required returns equal expected returns. which of the following statements is correct? a. portfolio ab has a standard deviation of 20% b. portfolio ab's coefficient of variation is greater than 2.0. c. portfolio abc's expected return is 10.67%. d. portfolio abc has a standard deviation of 20%. e. portfolio ab's required return is greater than the required return on stock a.

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Consider the following information for three stocks, a, b, and c. the returns on the stocks are posi...