Question
Consider two perfectly positively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of
Consider two perfectly positively correlated risky securities, A and B.
Security A has an expected rate of return of 16% and a standard deviation of return of 20%.
Security B has an expected rate of return of 10% and a standard deviation of return of 30%.
Solve for the minimum variance portfolio (i.e., what are the weights in A and B of the minimum variance portfolio). What is the variance of this portfolio?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes, Arshad Ahmad, Jordan Fortino
6th Canadian edition
1259453146, 978-1259453144
