Question
X has an expected return of 10% and a standard deviation of 20%. Y has an expected return of 15% and a standard deviation of
X has an expected return of 10% and a standard deviation of 20%. Y has an expected return of 15% and a standard deviation of 30%. If the minimum risk portfolio weights are .6 in X and ,4 in Y and the correlation between X and Y is -1, what is the expected return and risk of the minimum risk portfolio constructed from X and Y?
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Hedge Fund Risk Fundamentals
Authors: Richard Horwitz
1st Edition
8130911248, 978-8130911243
