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Mathematics, 31.03.2020 01:04 villanuevajose95

Consider two risky securities, A and B, with a correlation coefficient of 0.40. Security A has an expected rate of return of 12% and a standard deviation of return of 18%. B has an expected rate of return of 22% and a standard deviation of return of 34%. If a risk-free asset with a rate of 0.04 is available to buy/sell, the weight of security A in the optimal portfolio is

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Consider two risky securities, A and B, with a correlation coefficient of 0.40. Security A has an ex...
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