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The expected returns and standard deviation of returns for two securities are as follows: X Y Expected return 15% 15% Standard deviation 10% 20% Assume
The expected returns and standard deviation of returns for two securities are as follows: X Y Expected return 15% 15% Standard deviation 10% 20% Assume that the correlation between the returns of the two assets is -1. Find the portfolio with no risk. What is the proportion invested in X? What is the proportion invested in Y? Calculate the portfolio expected return
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