Find an analytical expression for the maximum correlation

Reference no: EM13190526

Consider a portfolio of three assets (A,B,C). Denote the expected returns on each asset as rA; rB; rC, respectively. Denote variances and covariance similarly.

Suppose the investor will accept a maximum portfolio variance of X. Find an analytical expression for the maximum correlation between assets A and B that would satisfy this criterion.

Reference no: EM13190526

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