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When two assets have -1 correlation... The assets covariance can be positive or negative. Knowing that one assets return is above its expected return tells
When two assets have -1 correlation...
The assets covariance can be positive or negative. | ||
Knowing that one assets return is above its expected return tells you nothing about the other assets return. | ||
The investment opportunity set is the line connecting the two assets. | ||
The Minimum Variance Portfolio is risk free |
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