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What are the weights for the MVP if the correlation is -1? Asset A (expected return) = 0.1 Asset A (standard deviation) = 0.25 Asset
What are the weights for the MVP if the correlation is -1?
Asset A (expected return) = 0.1
Asset A (standard deviation) = 0.25
Asset B (expected return) = 0.2
Asset B (standard deviation) = 0.35
~
a) Weight in Asset A = 0.8077, weight in Asset B = 0.1923
b) Weight in Asset A = 0.8077, weight in Asset B = -0.1923
c) Weight in Asset A = 1.1923, weight in Asset B = 0.1923
d) Weight in Asset A = 0.5833, weight in Asset B = 0.4167
e) None of the above.
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