Question
You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. E[ra] = :05, E[rB] = :07, V
You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free
asset. E[ra] = :05, E[rB] = :07, V ar[ra] = :06, V ar[rB] = :07, and rf = :02. Compute the optimal portfolio
three times with Corr(rA; rB) equal to -.5, 0, and .5. Discuss the results.
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Principles of Managerial Finance
Authors: Chad J. Zutter, Scott B. Smart
15th edition
013447631X, 134476315, 9780134478197 , 978-0134476315
