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Given two assets with the following characteristics: E(Ri) i Bond A 12% 4% Stock B 16% 6% Assume that the two asset have a perfectly

Given two assets with the following characteristics: E(Ri) i

Bond A 12% 4% Stock B 16% 6%

Assume that the two asset have a perfectly negative correlation coefficient. a) What is the weight that would lead to a zero variance for the portfolio?

b) At the weight of zero variance, what would be the portfolio return and risk?

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