alexanderfyhr alexanderfyhr

17-05-2024
Mathematics

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Question: You have two assets A and B which have a correlation of -1 with each other. The volatilities of A and B are 0.14 for A, and 0.54 for B. Which portfolio combination of these two, i.e., more specifically, with what weight for asset A, will the portfolio of these two assets have a volatility as low as zero? Options: a. 0.794 b. 0.259 c. 0.206 d. NO ANSWER e. 0.500 f. Cannot reach zero volatility with just two assets.

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