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Problem 5 (8 pts) Consider two assets A and B, the expected return of the two assets are 10% and 8% respectively, the standard deviation
Problem 5 (8 pts) Consider two assets A and B, the expected return of the two assets are 10% and 8% respectively, the standard deviation of the two assets are 20% and 40%, and the correlation between the returns of the two assets is -0.1. (a) Find the proportions o of A and (1 -a) of B that define a portfolio of A and B having minimum variance. (b) What are the expected value and the standard deviation of the return of this portfolio
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