Suppose you have an investment that has an expected return of 8% and a standard deviation of
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Suppose you have an investment that has an expected return of 8% and a standard deviation of 12%. You want to construct a portfolio with this investment and another investment that has an expected return of 12% and a standard deviation of 18%. The correlation between the two investments is 0.6. What proportion of the portfolio should be allocated to the first investment to minimize the portfolio risk?
Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
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