medium · CFA Level I pm
A portfolio manager at Caldera Glass is constructing a two-asset portfolio. Asset 1 has an expected return of 14% and a standard deviation of 20%. Asset 2 has an expected return of 8% and a standard deviation of 12%.
If the correlation between the assets is ρ = -1.0, what weight in Asset 1 will produce a portfolio with zero risk?
- 37.5%
- 62.5%
- 50.0%
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