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Find the portfolio weights

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Stock A has an expected return of 5% and a standard deviation of 10%. Stock B has an expected return of 10% and a standard deviation of 20%. The covariance between the returns of the two stocks is 0.001. Suppose an investor holds a portfolio consisting of only stock A and stock B.

Find the portfolio weights, XA and XB, such that the variance of her portfolio is minimized.

Reference no: EM132757986

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