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(c) An investor consults you, an Investment Advisor, to construct an optimal two-asset portfolio out of Asset Theta () and Asset Omega () with the
(c) An investor consults you, an Investment Advisor, to construct an optimal two-asset portfolio out of Asset Theta () and Asset Omega () with the following measures of risk generated by a computer program: Calculate: (i) The optimal weights of the two-asset portfolio (W and W). [7 Marks] (ii) The resultant Portfolio Variance (P2). [3 Marks]
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