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The correlation ρ between assets A and B is 0.25, and other data are given in the following table: [Recall the definition ρ = σAB/(σAσB).] Asset    ¯r         σ A         9.0%    12% B         11.0%   16% (a) Find the proportions α of A and (1 − α) of B that define a portfolio of A and B having minimum standard deviation. (b) What is the value of this minimum standard deviation? (c) What is the expected return of this portfolio?

The correlation ρ between assets A and B is 0.25, and other data are given in the following table: [Recall the definition ρ = σAB/(σAσB).] Asset    ¯r         σ A         9.0%    12% B         11.0%   16% (a) Find the proportions α of A and (1 − α) of B that define a portfolio of A and B having minimum standard deviation. (b) What is the value of this minimum standard deviation? (c) What is the expected return of this portfolio?

MATLAB: An Introduction with Applications
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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The correlation ρ between assets A and B is 0.25,
and other data are given in the following table: [Recall the definition ρ = σAB/(σAσB).]
Asset    ¯r         σ
A         9.0%    12%
B         11.0%   16%
(a) Find the proportions α of A and (1 − α) of B that define a portfolio of A and B having minimum standard deviation.
(b) What is the value of this minimum standard deviation?
(c) What is the expected return of this portfolio?

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