Suppose you have a two-asset portfolio with s1 = .05 and s2 = .08. Assume the correlation
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose you have a two-asset portfolio with s1 = .05 and s2 = .08. Assume the correlation coefficient of returns on the two assets is -1.0. Assuming you must hold positive amounts of both securities, what fraction of the portfolio should you hold in asset 2 to reduce the risk of the portfolio to zero.
(a) .62
(b) .5
(c) .42
(d) .38
Explain your answer with logical calculations.
Posted Date: