Question
Consider the correlation of asset A and B is 0.45. Asset A has an expected rate of return of 10% and a standard deviation of
Consider the correlation of asset A and B is 0.45. Asset A has an expected rate of return of 10% and a standard deviation of 25%. Asset B has an expected rate of return of 12% and a standard deviation of 26%. The weights of A and B in the global minimum variance portfolio are _____ and _____, respectively.
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N Hyman
10th Edition
053875446X, 978-0538754460
