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Homework answers / question archive / The following are estimates for two stocks

The following are estimates for two stocks

Finance

The following are estimates for two stocks.

Stock Expected Return Beta Firm-specific standard deviation
A 13% 0.8 30%
B 18% 1.2 40%

Using the two assets above, assuming that the coefficient of risk aversion (A) and the correlation of the two assets are 4 and 0.6, respectively, find the portfolio that maximizes the individual’s utility given: U=E(rp)-(1/2)Aδ2p

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