Question
Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%.
Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%. What are the weights of A and B in the minimum variance portfolio
What's the return for the risk-free portfolio?
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Personal Finance
Authors: Thomas Garman, Raymond Forgue
12th edition
9781305176409, 1133595839, 1305176405, 978-1133595830
