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Suppose you have an investment that has an expected return of 8% and a standard deviation of 12%. You want to construct a portfolio with
Suppose you have an investment that has an expected return of 8% and a standard deviation of 12%. You want to construct a portfolio with this investment and another investment that has an expected return of 12% and a standard deviation of 18%. The correlation between the two investments is 0.6. What proportion of the portfolio should be allocated to the first investment to minimize the portfolio risk?
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Understanding Basic Statistics
Authors: Charles Henry Brase, Corrinne Pellillo Brase
6th Edition
978-1133525097, 1133525091, 1111827028, 978-1133110316, 1133110312, 978-1111827021
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