Question: Given 2 securities : Average return Average variance Cov(A,B) A 23% 0.094 0.038 B 5% 0.042 Derive the minimum-variance portfolio for a 12% expected return

Given 2 securities :

Average return

Average variance

Cov(A,B)

A

23%

0.094

0.038

B

5%

0.042

Derive the minimum-variance portfolio for a 12% expected return and:

- the share of capital allocated to each asset,

- the expected return and expected standard deviation of your selection.

Please answer with steps, thank you in advance.

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