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Suppose you are considering following two risky assets to form a portfolio E(RA) = 15% STDDEV(RA)...

Suppose you are considering following two risky assets to form a portfolio

E(RA) = 15% STDDEV(RA) = σ A = 0.2418

E(R B) = 10% STDDEV(R B) = σ B = 0.1048

Cov (RA, R B) = -0.001

*Note : Cov (RA, R B) = σ A * σ B * Corr (RA, R B )

1. What are the portfolio weights for asset A and B, respectively, to achieve a Minimum-Variance Portfolio (MVP)?

2. What is the standard deviation of Minimum-Variance Portfolio (MVP)?

3. What is the Expected return of Minimum-Variance Portfolio (MVP)?

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jeff jeffy answered 2 years ago
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