Question: Consider two risky assets A and B with returns Ra and RB. Assume that E(RA) = E(RB) = E, A = Op = 0. Suppose

Consider two risky assets A and B with returns Ra and

Consider two risky assets A and B with returns Ra and RB. Assume that E(RA) = E(RB) = E, A = Op = 0. Suppose you would like to invest $100,000 in these assets. How would you allocate your money to minimize the risk of your portfolio if: a) Corr(RA, RB) = 1 b) Corr(RA, RB) # 1

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