What would be the resulting standard deviation

Reference no: EM133575737

Recall that wa denotes the portfolio weight of asset A (proportion of funds invested in A) and denotes the portfolio weight of asset B, with wa + wb. The coefficient p (-1<p<1) ) measures the correlation between the returns of the assets A and B. What is the lowest value that portfolio risk as measured by the portfolio standard deviation can theoretically take? If you could choose any values for p and wa to minimise the standard deviation of this portfolio, which values would you choose? And what would be the resulting standard deviation? Provide a mathematical proof to support your answer.

Reference no: EM133575737

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