Question: Given two assets with the following characteristics: E(R 1 ) = 0.12 1 = 0.04 E(R 2 ) = 0.16 2 = 0.06 Assume that

  1. Given two assets with the following characteristics:

E(R1) = 0.12 1 = 0.04

E(R2) = 0.16 2 = 0.06

Assume that r1,2 = -1.00. What is the weight that would yield a zero variance for the portfolio? (3 marks)

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