Weight of security y in the minimum variance portfolio

Reference no: EM132465507

Consider two perfectly negatively correlated risky securities, X and Y. Security X has an expected rate of return of 8% and a standard deviation of return of 22%. Y has an expected rate of return of 18% and a standard deviation of return of 36%. What is the weight of security Y in the minimum variance portfolio? Enter your answer rounded to two decimal places.

Reference no: EM132465507

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