Question
Consider a 2 asset portfolio comprised of an Equity Fund and a Bond Fund. The Return and Volatility attributes of each asset as as follows:
Consider a 2 asset portfolio comprised of an Equity Fund and a Bond Fund.
The Return and Volatility attributes of each asset as as follows:
Expected Return Standard Deviation
Equities 20% 35%
Bonds 12% 18%
Correlation Coefficient (Rho) = 0.10
What are the investment proportions of the minimum-variance portfolio wMin(E) and wMin(B) ?
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Contemporary Financial Management
Authors: R. Charles Moyer, James R. McGuigan, Ramesh P. Rao
13th edition
1285198840, 978-1285198842
