Denote return for a portfolio consists of two assets

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Reference no: EM131001894

Mathematical finance

Let R denote return for a portfolio consists of two assets R=WR1+(1-w)R2

-show that in the minimum variance portfolio risk asset gets low wieght adjusted by covariance with return if this asset ?

-for two incorrelated assets weights of portfolio which has maximum return risk ratio are proportional to its expected return-variance ratio and what will be the weights in?

Reference no: EM131001894

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