On the basis of these data, determine the lowest risk portfolio. The correlation coefficient, , is 0.15.

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On the basis of these data, determine the lowest risk portfolio.

Return (%) Standard deviation (%) Covariance EG&G 25 30 112.5 GF 23 25

The correlation coefficient, ρ, is 0.15. 

Proportion in EG&G w 1.0 0.8 0.6 0.2 0.0 GF w = (1 - w) 0.0 0.2 0.4 0.8 1.0 (1) Portfolio Expected Returns

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Investments Analysis And Management

ISBN: 9781118975589

13th Edition

Authors: Charles P. Jones, Gerald R. Jensen

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