Question
The expected return of Asset A and Asset B are 12% and 18% respectively, and the standard deviation of Asset A and B are 15%
The expected return of Asset A and Asset B are 12% and 18% respectively, and the standard deviation of Asset A and B are 15% and 25% respectively. The correlation coefficient between Asset A and B is -1. Find out the expected return of the portfolio containing Asset A and B that has the lowest level of risk.
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Modern Portfolio Theory and Investment Analysis
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
9th edition
9781118805800, 1118469941, 1118805801, 978-1118469941
