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Consider the following two assets with a correlation coefficient of -1 (i.e., p=-1, or perfect negative correlation) Stock Expected Return Standard Deviation A 5% 20%
Consider the following two assets with a correlation coefficient of -1 (i.e., p=-1, or perfect negative correlation)
Stock | Expected Return | Standard Deviation |
A | 5% | 20% |
B | 10% | 30% |
a) Calculate the portfolio weight for asset A to produce a risk-free portfolio.
b) If the answer for a was w1=80%, what is the value for w2?
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