Consider the expected return and volatility of returns for


Consider the expected return and volatility of returns for Coca-Cola and Intel. Assume thatthe assets are perfectly negatively correlated, i.e., their correlation coefficient is ρ = -1.Asset Expected Return VolatilityE(R) σ(R)Coca-Cola 0.09 0.12Intel 0.28 0.19

(a) Calculate the portfolio weights, i.e., kCoca-Cola, kIntel, that remove all risk.

(b) What is the riskfree rate of interest in this economy?

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Econometrics: Consider the expected return and volatility of returns for
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