Question
Ra=%10 --> Ga=%5 Pa,b= coefficient of Gn+riskn Gnriskb Rb=%1 --> Gb=%1 Xa= weight of A Xb= weight of b-->1-Xa Var(P)=Xa2*Ga2+Xb2*Gb2+2Xa*Xb*Pa,b*Gn*Gb Minimize Var(P)-->choosing Xa-->weight of A
Ra=%10 --> Ga=%5 Pa,b= coefficient of Gn+riskn Gnriskb
Rb=%1 --> Gb=%1 Xa= weight of A
Xb= weight of b-->1-Xa
Var(P)=Xa2*Ga2+Xb2*Gb2+2Xa*Xb*Pa,b*Gn*Gb
Minimize Var(P)-->choosing Xa-->weight of A
dvar(P) / dXa=?
Please derive the minimum variance portfolio weight of a 2-stocks portfolio.? (show the the weight of the 1st stock included in your 2-stocks portfolio, that minimizes the variance of portfolio)
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Elements Of Financial Risk Management
Authors: Peter Christoffersen
2nd Edition
0128102357, 9780128102350
