Asset
Expected Return
Expected Standard Deviation
Weight
A
12%
3%
0.8
B
20%
7%
0.2
Calculate the expected return and the risk (i.e. standard deviation) of this two-asset portfolio. Comment on the risk of this portfolio relative to the two individual assets. Suppose the correlation coefficient between A and B was -1.0. How can an investor obtain a zero risk portfolio consisting of A and B?
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