Assets A and B have the means and variances indicated in the exercise file. Graph three cases,
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Assets A and B have the means and variances indicated in the exercise file. Graph three cases, ρAB = −1, 0, + 1 on one set of axes, producing the following chart:
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Effect of Correlation on Frontier 5.5% 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 0% 1% 2% 3% 4% 5% 6% 7% 8% - corr = +1 corr = 0 corr = -1
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