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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Corporate Finance The Core
Authors: Jonathan Berk, Peter DeMarzo
4th Global Edition
1292158336, 9781292158334
