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You currently hold a portfolio that is 100% invested in US stocks, with an expected return of 12% and a standard deviation of 18%. The
You currently hold a portfolio that is 100% invested in US stocks, with an expected return of 12% and a standard deviation of 18%. The risk free rate is 2%. You are considering investing some of your portfolio in German stocks, which have an expected return of 7%, and a standard deviation of 21%.
For what correlation between the two markets will you want to take a short position in Germany?
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