What percentage of your investment should be in a to make


Suppose you plan to create a portfolio with two securities: A and B. A has an expected return of 35% with a standard deviation of 22%. B has an expected return of 20% with a standard deviation of 9%. The correlation between the returns of these two securities is perfectly negative.

What percentage of your investment should be in A to make the portfolio risk free? What would be the expected return on the portfolio?

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Financial Management: What percentage of your investment should be in a to make
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