Consider two perfectly negatively correlated risky securities, X and Y.Security X has an expected rate of return
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Question:
Consider two perfectly negatively correlated risky securities, X and Y.Security X has an expected rate of return of 8% and a standard deviation of return of 22%.Y has an expected rate of return of 18% and a standard deviation of return of 36%.What is the weight of security Y in the minimum variance portfolio?
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