Question
Assume there are two securities, M and N. The expected return on M is 12%, and its standard deviation is 15%. The expected return on
Assume there are two securities, M and N. The expected return on M is 12%, and its standard deviation is 15%. The expected return on N is 6%, and its standard deviation is 9%. The correlation of M and N is -1. If Mary decides to invest in a portfolio consisting of these two securities, what is the minimum variance of the portfolio? And what is the composition of the minimum variance portfolio?
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ISE Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
8th International Edition
1265561435, 9781265561437
