9 (Portfolio allocation)Suppose R₁ and R2 are returns of 2 assets and with expected return andvariance respectively r₁ and 72 and variance-covariance σ2, 0%½ and σ12. Find−∞ ≤ w ≤ ∞ such that the portfolio wR₁ + (1 - w) R₂ has the smallestrisk.

The problem involves finding the optimal weight ω\omegaω in a two-asset portfolio that minimizes…

Answered: 9 (Portfolio allocation) Suppose R₁ and…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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9 (Portfolio allocation) Suppose R₁ and R2 are returns of 2 assets and with expected return and variance respectively r₁ and 72 and variance-covariance σ2, 0%½ and σ12. Find −∞ ≤ w ≤ ∞ such that the portfolio wR₁ + (1 - w) R₂ has the smallest risk.