Minimum risk portfolio equation: W A = σ B ( σ B-ρ AB σ Α 29/σ 2 Α + σ 2 Β- 2 ρ AB σ Α σ Β Our text explains: if the equation results in a negative number that means that security A is sold short. If the equation results in a value greater than 1, security B is sold short. In a short sale the expectation is to borrow, sell, and then buy back at a
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This note was uploaded on 03/26/2012 for the course F1515 F1515 taught by Professor Stan during the Spring '10 term at Keller Graduate School of Management.