Suppose Tex stock has a volatility of 44%, and Mex stock has a volatility of 16%. If
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Suppose Tex stock has a volatility of 44%, and Mex stock has a volatility of 16%. If Tex and Mex are uncorrelated,
a. Construct a portfolio with positive weights in both stocks and that has the same volatility as MEX alone.
b. What portfolio of the two stocks has the smallest possible volatility?
The Volatility of a Large Portfolio AppendixLO1
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Related Book For
Corporate Finance The Core
ISBN: 9781292431611
5th Global Edition
Authors: Jonathan Berk, Peter DeMarzo
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