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Derive the minimum-variance portfolio

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Reference no: EM133059618

Given 2 securities:

 

Average return

Average variance

Cov(A,B)

A

23%

0.094

0.038

B

5%

0.042

 

Derive the minimum-variance portfolio for a 12% expected return and: 

- the share of capital allocated to each asset, 

- the expected return and expected standard deviation of your selection.

Please answer with steps, thank you in advance.

Reference no: EM133059618

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