American yields a zero variance portfolio

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American Airlines return has a 5% standard deviation while United Airlines has a 20% standard deviation. Suppose their returns are perfectly negatively correlated: when oil prices go up, it is good for American and bad for United.

A portfolio weight w=___on American yields a zero variance portfolio (answer a number between 0 and 1 with 1 decimal, e.g., 0.5).

Reference no: EM133119467

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