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Two assets A and B have the following risk and return characteristics RA =22% ; RB = 20% ; = 15% ; =18% ; r
Two assets A and B have the following risk and return characteristics RA =22% ; RB = 20% ; = 15% ; =18% ; r (correlation coefficient) = -1 Determine the minimum risk portfolio weights for A and B.
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Options Futures And Other Derivatives
Authors: John C. Hull
7th Edition
0136015867, 9780136015864
