Question
Consider two imperfectly correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 19%. L
Consider two imperfectly correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 19%. L has an expected rate of return of 10% and a standard deviation of 16%. Their correlation with each other is 0.7. What is the weight of security L in the minimum variance portfolio? Remember to enter the securities in the proper order into the weight formula. Please enter your answer in decimal form rounded to the third decimal place. | |||||
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