What correlation between the two assets produces deviation

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Reference no: EM133664250

Problem

A portfolio consists of assets A and B, which possess the following expected return, risk and weights.

Asset Expected
return/ %
Standard
Deviation/
%
Weight
A 10 20 0.35
B 15 25 0.65

1. What correlation between the two assets produces the maximum portfolio standard deviation?

2. What correlation between the two assets produces the minimum portfolio standard deviation?

Reference no: EM133664250

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