Common stocks A, B, C, and D had the following quarterly returns.
|
A
|
B
|
C
|
D
|
|
0.07
|
0.05
|
0.07
|
0.12
|
|
0.14
|
0.08
|
0.05
|
0.09
|
|
0.10
|
0.14
|
-0.04
|
0.13
|
|
-0.09
|
-0.10
|
0.05
|
0.06
|
|
0.12
|
0.05
|
0.06
|
0.08
|
|
0.13
|
0.09
|
0.10
|
0.07
|
|
0.11
|
0.12
|
0.13
|
0.05
|
|
-0.06
|
0.03
|
0.09
|
0.11
|
|
0.07
|
-0.07
|
-0.08
|
0.06
|
|
0.08
|
0.07
|
0.08
|
0.10
|
a) Verify the expected quarterly return, and standard deviation of each stock.
b) Verify the correlations between them.
c) What is the standard deviation and expected return of a portfolio comprised of 20% stock A, 15% stock B, 30% stock C, and 35% stock D.