Find the weights of the portfolio

Reference no: EM132202345

Question - Consider a market consisting of two risky assets S₁ and S₂ such that (σ₁, μ₁) = (0.1, 0.1), (σ₂, μ₂) = (0.20, 0.12) and ρ₁₂ = 0.1.

Find the weights of the portfolio V that has expected return 4 times of the expected return of the minimum variance portfolio.

Reference no: EM132202345

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