Business, 21.04.2020 17:01 axxpjr12

Asset A and B have expected returns of 5% and 3% per year respectively. Their annual volatilities are both 20% and the correlation coefficient between the returns of assets A and B is 30%. The risk free rate is 1% per year. 1. Find the weights on A and B in a portfolio with minimal risk. 2. Find the weights on A and B in the optimal risky portfolio that has the maximum Sharpe ratio.

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Asset A and B have expected returns of 5% and 3% per year respectively. Their annual volatilities ar...

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