hard · CFA Level I Portfolio Management
Harbourlight REIT is evaluating a two-asset portfolio for its pension fund. Asset X has an expected return of 10% and a standard deviation of 15%. Asset Y has an expected return of 6% and a standard deviation of 8%. The correlation coefficient between X and Y is -0.20. The risk-free rate is 2%.
If the correlation coefficient between Asset X and Asset Y were to change to -1.0, the weight of Asset X (w_X) required to create a perfectly riskless portfolio is closest to:
- 34.78%
- 50.00%
- 65.22%
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