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1.a. The correlation between A and B is -0.07. Calculate the expected return of the minimum variance portfolio. Express your answer as a decimal with
1.a. The correlation between A and B is -0.07. Calculate the expected return of the minimum variance portfolio. Express your answer as a decimal with four digits after the decimal point (e.g., 0.1234, not 12.34%).
Asset | Expected Return | Standard Deviation |
A | 0.07 | 0.32 |
B | 0.17 | 0.42 |
1.b. The correlation between A and B is +1. Calculate the expected return of the minimum variance portfolio. Express your answer as a decimal with four digits after the decimal point (e.g., 0.1234, not 12.34%).
Asset | Expected Return | Standard Deviation |
A | 0.12 | 0.19 |
B | 0.15 | 0.26 |
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