Question: Efficient two-asset portfolio Consider two assets Si and S2 with the annual mean return = 0.12,72 = 0.15, the volatilities 01 = 0.2,02 = 0.18.

Efficient two-asset portfolio Consider two assets Si and S2 with the

Efficient two-asset portfolio Consider two assets Si and S2 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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