Question
Let S1, S2 be risky assets with returns K1, K2. Suppose that K1 has variance 64 and K2 has variance 3 and that Cov(K1, K2)
Let S1, S2 be risky assets with returns K1, K2. Suppose that K1 has variance 64 and K2 has variance 3 and that Cov(K1, K2) = 10. Determine the weights of the portfolio with minimum risk. Is short selling involved? If so describe the portfolio with minimum variance among portfolios without short selling.
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Handbook Of Asian Finance REITs Trading And Fund Performance
Authors: David Lee, Greg N. Gregoriou
1st Edition
0128009861, 978-0128009864
