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Based on the following historical risk, return and correlation, which of the following assets is least likely to be allocated in a portfolio with the
Based on the following historical risk, return and correlation, which of the following assets is least likely to be allocated in a portfolio with the investment objective of a required return of 7% per annum and the volatility of the portfolio to be minimised? The constraints are that no asset can have a negative weight or a weight above 100%. Assets Asset 1 Asset 2 Asset 3 Asset 4 Return 4% 6% 8% 10% Volatility 5% 9% 13% 18% Asset 1 Asset 2 Asset 3 Asset 4 Asset 1 1 Asset 2 0.8 1 Asset 3 0.6 0.81 Asset 4 -0.2 0.3 0.9 1 Asset 2 Not enough information provided to select the asset least likely to be selected in a portfolio Asset 3 Asset 1 Asset 4
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