Question: Security A Expected return 20% Standard deviation 45% Security B Expected return 15% Standard deviation 35% Correlation 0.1 Calculate security A's weight in the minimam

Security A

Expected return 20%

Standard deviation 45%

Security B

Expected return 15%

Standard deviation 35%

Correlation 0.1

Calculate security A's weight in the minimam variance portfolio? 0.36 0.42 0.32 0.28

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