There are two risky assets, r1 and r2. Their standard deviations are 23% and 28%, respectively. Their correlation coefficient is 0.26. A portfolio of r1 and r2 has a portfolio weight on r1 as 0.7714. Then another portfolio that is uncorrelated with the first portfolio will have a portfolio weight on r1 as (enter a number in decimal format with 2 decimal places)

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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There are two risky assets, r1 and r2. Their standard deviations are 23% and 28%, respectively. Their correlation coefficient is
0.26. A portfolio of r1 and r2 has a portfolio weight on r1 as 0.7714. Then another portfolio that is uncorrelated with the first portfolio
will have a portfolio weight on r1 as
(enter a number in decimal format with 2 decimal places)
Transcribed Image Text:There are two risky assets, r1 and r2. Their standard deviations are 23% and 28%, respectively. Their correlation coefficient is 0.26. A portfolio of r1 and r2 has a portfolio weight on r1 as 0.7714. Then another portfolio that is uncorrelated with the first portfolio will have a portfolio weight on r1 as (enter a number in decimal format with 2 decimal places)
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