Composition of the minimum variance portfolio

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In class, using the data for Ch. 5 Q 5, we found the composition of the minimum variance portfolio and the corresponding expected return and risk for three benchmark cases: (1) pA,B = +1, (2) pA,B = - 1, and (3) pA,B = 0. Forexample, in case (1) pA,B = +1, XA MVP = 0, E[RP MVP ] = 4, andthe standard deviationof the minimum risk portfoliois 2. Is there another value of pA,B such that the minium risk portfoliois 0% in asset A or B? If yes, what is the correlation, the weights in each asset, and the mean and standard deviation of the resulting portfolio? If not, why not? (SHOW YOUR WORK)

Reference no: EM133253366

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