Question: Given two assets with the following characteristics: E(R1) = 0:12 1 = 0:04 E(R2) = 0:16 2 = 0:06 Assume that r1,2 = 1.00. What

Given two assets with the following characteristics:

E(R1) = 0:12 σ1 = 0:04

E(R2) = 0:16 σ2 = 0:06

Assume that r1,2 = −1.00. What is the weight that would yield a zero variance for the portfolio?


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