2. The correlation p between assets A and B is 0.1, and other data are given in Table 1. Table 1: Two Correlated Assets Assets A 10.0% 15% B 18.0%
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c.

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2. The correlation p between assets A and B is 0.1, and other data are
given in Table 1.
Table 1: Two Correlated Assets
Assets
A
10.0%
15%
B
18.0%
30%
(a) Find the proportions o of A and (1-a) of B that define a portfolio
of A and B having minimum standard deviation.
(b) What is the value of this minimum standard deviation?
(c) What is the expected return of this portfolio?

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