Answer to Question #111755 in Financial Math for Gazal

Question

Let rho =(w1,w2) be a portfolio of two securities. Find the value of w1 and w2 in the following
situations:
i) rho12 = −1 and rho is risk-free.
ii) sigma1 = sigma2 and variance P is minimum.
iii) Variance on P is minimum and rho12 = −0.5, sigma1 =2 and sigma2 =3 .

Answer 1

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