2-sec portfolios - Case rho12= Portfolio x(1) x(2) E(p) 1...

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Given E(1) 5% E(2) 15% Sigma(1) 20% Sigma(2) 40% Case 1 2 3 4 5 rho12= 1 0.5 0 -0.5 -1 Portfolio x(1) x(2) E(p) SDp SDp SDp SDp SDp 1 -0.3 1.3 18% 46% 49% 52% 55% 58% 2 -0.275 1.275 18% 46% 48% 51% 54% 57% 3 -0.25 1.25 18% 45% 48% 50% 53% 55% 4 -0.225 1.225 17% 45% 47% 49% 51% 54% 5 -0.2 1.2 17% 44% 46% 48% 50% 52% 6 -0.175 1.175 17% 44% 45% 47% 49% 51% 7 -0.15 1.15 17% 43% 45% 46% 48% 49% 8 -0.125 1.125 16% 43% 44% 45% 46% 48% 9 -0.1 1.1 16% 42% 43% 44% 45% 46% 10 -0.075 1.075 16% 42% 42% 43% 44% 45% 11 -0.05 1.05 16% 41% 42% 42% 43% 43% 12 -0.025 1.025 15% 41% 41% 41% 41% 42% 13 0 1 15% 40% 40% 40% 40% 40% 14 0.025 0.975 15% 40% 39% 39% 39% 39% 15 0.05 0.95 15% 39% 39% 38% 38% 37% 16 0.075 0.925 14% 39% 38% 37% 36% 36% 17 0.1 0.9 14% 38% 37% 36% 35% 34% 18 0.125 0.875 14% 38% 36% 35% 34% 33% 19 0.15 0.85 14% 37% 36% 34% 33% 31% 20 0.175 0.825 13% 37% 35% 33% 31% 30% 21 0.2 0.8 13% 36% 34% 32% 30% 28% 22 0.225 0.775 13% 36% 33% 31% 29% 27% 23 0.25 0.75 13% 35% 33% 30% 28% 25% Composition of Risk-minimizing portfolios. 24 0.275
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This note was uploaded on 02/12/2012 for the course UGBA 101A taught by Professor Mccullough during the Spring '08 term at University of California, Berkeley.

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2-sec portfolios - Case rho12= Portfolio x(1) x(2) E(p) 1...

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