Assets - Investment Proportions in Minimum-Variance Portfoli
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Problem:
There are three assets that one could invest. A is a risk-free asset with that yields a rate of 8%. The other two assets, B and S are risky asset with the following attributes.
Asset Expected Return Standard deviation
A
B 12% 15%
S 20% 30%
Correlation between assets B and S is 0.1.
To determine the investment proportions in the minimum-variance portfolio of the two risky funds, the expected value and standard deviation of its rate of return. I did the following ... {see attachment}
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Education
- BE, Bangalore University, India
- MS, University of Wisconsin-Madison
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