Consider two assets with expected return E(r1) 0 37, E(r2) 0 47 with variances 1 2 0 11, 2 2 0 29 and covariance 12 0 19 The risk free rate is 0 12 Find the normalized weight w 1 and w 2 of the efficient portfolio (the tangency portfolio) of risky assets

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Question: Consider two assets with expected return E(r1)=0.37, E(r2)=0.47; with variances 1 2 =0.11, 2 2 =0.29 and covariance 12 =0.19 . The risk free rate

Consider two assets with expected return E(r1)=0.37, E(r2)=0.47; with variances ₁²=0.11, ₂²=0.29 and covariance ₁₂=0.19 . The risk free rate is 0.12. Find the normalized weight w₁ and w₂ of the efficient portfolio (the tangency portfolio) of risky assets.

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