Shape of the investment set and efficient frontier

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Reference no: EM131555333

Assume you want to invest in two risky assets: an equity fund with an expected return of 20% and a standard deviation of 30% and a fixed-income fund with an expected return of 12% and a standard deviation of 10%. Draw the investment opportunity set if the correlation between the two assets is equal to 1, -1 and 0. For each level of correlation, identify the efficient frontier, the minimum variance portfolio and explain the shape of the investment set and the efficient frontier.

Reference no: EM131555333

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