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Assume a portfolio of two assets, with $10m invested in asset 1 and $5m invested in asset 2. The per pound covariance matrix of

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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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