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Problem 4 Asset The correlation p between assets A and B is 0.1, and other data are given in the next table: 10% 15% 18%
Problem 4 Asset The correlation p between assets A and B is 0.1, and other data are given in the next table: 10% 15% 18% 30% 1. Find the proportions a of A and (1 - a) of B that define a portfolio of A and B having minimum standard deviation. 2. What is the value of this minimum standard deviation? 3. What is the expected return of this portfolio
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