Question: Consider two assets S and S with the annual mean return = - 0.12,72 = 0.15, the volatilities 01 = 0.2,02 0.18. The correlation

Consider two assets S and S with the annual mean return =

Consider two assets S and S with the annual mean return = - 0.12,72 = 0.15, the volatilities 01 = 0.2,02 0.18. The correlation coefficient of the two assets is P12 -1. Assume the short sell is not permitted. Build an efficient portfolio that has the return at least 13.8%. = =

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