Calculate weights of a and b in the global minimum variance , Macroeconomics

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%. The weights of A and B in the global minimum variance portfolio are _____ and _____, respectively.

 

Posted Date: 4/5/2013 6:24:04 AM | Location : United States







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