How to construct the portfolio frontier

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Reference no: EM131926058

Question: An investor uses the mean-variance criterion for selecting a portfolio of two risky assets. Asset 1 has an expected return of 20% and a variance of 4. Asset 2 has an expected return of 60% and a variance of 36. There is no risk-free asset available.

(a) Calculate the weights necessary to create an e?cient portfolio frontier for the cases in which the correlation coe?cient between the returns, ?12, is equal to +1 and also when it is equal to -1.

(b) Describe, in general terms, how to construct the portfolio frontier when -1 < ? < +1

Reference no: EM131926058

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