Question
Assume a portfolio of two assets, with $10m invested in asset 1 and $5m invested in asset 2. The per pound covariance matrix of
Assume a portfolio of two assets, with $10m invested in asset 1 and $5m invested in asset 2. The per pound covariance matrix of the two assets is: Asset 1 Asset 2 The best hedge of asset 2 is: Asset 1 0.04 -0.01 Asset 2 -0.01 0.04
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Derivatives Principles And Practice
Authors: Rangarajan Sundaram
2nd Edition
0078034736, 9780078034732
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