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    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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