Question: the first two are wrong the last one is right The volatilities of the returns on two assets are on = 0.18 and o2 =

the first two are wrong the last one is right

The volatilities of the returns on two assets are on = 0.18 and o2 = 0.24. Let w* denote the allocation to asset one that would minimize the standard deviation of the portfolio's return. (a) Compute w assuming the correlation between the returns is p = 30%. Express your answer as a percentage, to the nearest ten basis points. Allocation to First Asset - 96 % (b) Compute w assuming the correlation between the returns is p = 93%. Express your answer as a percentage, to the nearest ten basis points. Allocation to First Asset - 90 % (c) What is the largest value of p for which w*

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