Question: 9) Now, after several years passed, the correlation coefficient between aforementioned two assets dropped to -1 . To achieve the total variance of 20% using

 9) Now, after several years passed, the correlation coefficient between aforementioned

9) Now, after several years passed, the correlation coefficient between aforementioned two assets dropped to -1 . To achieve the total variance of 20% using these two assets, how much weight do you need to allocate to asset A and asset B ? 20=(wA2wB3)2=(wA23+wA3)2=(wA53)2 A) wA=2.5,wB=1.5 B) wA=1.5,wB=0.5 C) wA=3.6,wB=2.6 D) wA=0.9,wB=0.1

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