Answer to Question #106421 in Financial Math for simran

Question

Let ( , ) ρ = w1 w2
be a portfolio of two securities. Find the value of w1
and w2
in the following
situations:
i) 1 ρ12 = − and ρ is risk-free.
ii) σ1 = σ2
and variance P is minimum.
iii) Variance on P is minimum and 2 ,5.0 ρ12 = − σ1 = and 3 σ2 = .

Answer 1

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