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12) Assume the economy is composed of only two risky assets, asset 1 and asset 2. The correlation between the two is P1,2 ==

12) Assume the economy is composed of only two risky assets, asset 1 and asset 2. The correlation between the two is P1,2 == 1, and the expected return and variance of the two are: Asset 1 Asset 2 Expected return 15% 20% Variance 0.09 0.25 If an investor wants to minimize the variance of a combined portfolio of asset 1 and 2, what is the weight on asset 1 in this minimum variance portfolio?

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