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Suppose you have two assets mean returns 8% and 8% and with volatilities 50% and 30% respectively, and correlation 0.5 between their returns. Suppose also
Suppose you have two assets mean returns 8% and 8% and with volatilities 50% and 30% respectively, and correlation 0.5 between their returns. Suppose also that the risk free rate is 1%. What is the weight of the second asset in the optimal "one fund"? (Nearest 0.01. Weights of both assets sum to one).
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