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Consider two risky securities, A and B, with a correlation coefficient of 0.1. Security A has anexpected return of 8% and a standard deviation of
Consider two risky securities, A and B, with a correlation coefficient of 0.1. Security A has anexpected return of 8% and a standard deviation of 16%. Security B has an expected return of 12% and a standard deviation of 20%. Compute the weights in the minimum variance portfolio and find the expected return and variance for this portfolio.
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