Solve for the minimum variance portfolio

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Consider two perfectly positively correlated risky securities, A and B.

Security A has an expected rate of return of 16% and a standard deviation of return of 20%.

Security B has an expected rate of return of 10% and a standard deviation of return of 30%.

Solve for the minimum variance portfolio (i.e., what are the weights in A and B of the minimum variance portfolio). What is the variance of this portfolio?

Reference no: EM132675700

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