which one is correct? QUESTION 12 Exhibit 6B.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)   The general equation for the weight of the first security to achieve the minimum variance (in a two-stock portfolio) is given by:   W1 = [E(σ1)2 − r1.2 E(σ1) E(σ2)] &χεδιλ; [E(σ1)2 + E(σ2)2 − 2 r1.2 E(σ1) E(σ2)]   Refer to Exhibit 6B.1. Show the minimum portfolio variance for a portfolio of two risky assets when r1.2 = − 1.   a. E(σ1) &χεδιλ; [E(σ1) − E(σ2)]   b. E(σ2) &χεδιλ; [E(σ1) − E(σ2)]   c. None of these are correct.   d. E(σ1) &χεδιλ; [E(σ1) + E(σ2)]   e. E(σ2) &χεδιλ; [E(σ1) + E(σ2)]

Microeconomic Theory
12th Edition
ISBN:9781337517942
Author:NICHOLSON
Publisher:NICHOLSON
Chapter7: Uncertainty
Section: Chapter Questions
Problem 7.10P
icon
Related questions
Question

which one is correct?

QUESTION 12

  1. Exhibit 6B.1

    USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

     

    The general equation for the weight of the first security to achieve the minimum variance (in a two-stock portfolio) is given by:

     

    W1 = [E(σ1)2 − r1.2 E(σ1) E(σ2)] &χεδιλ; [E(σ1)2 + E(σ2)2 − 2 r1.2 E(σ1) E(σ2)]

     


    Refer to Exhibit 6B.1. Show the minimum portfolio variance for a portfolio of two risky assets when r1.2 = − 1.
      a.
    E(σ1) &χεδιλ; [E(σ1) − E(σ2)]
      b.
    E(σ2) &χεδιλ; [E(σ1) − E(σ2)]
      c.
    None of these are correct.
      d.
    E(σ1) &χεδιλ; [E(σ1) + E(σ2)]
      e.
    E(σ2) &χεδιλ; [E(σ1) + E(σ2)]
Expert Solution
trending now

Trending now

This is a popular solution!

steps

Step by step

Solved in 2 steps

Blurred answer
Knowledge Booster
Portfolio
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, economics and related others by exploring similar questions and additional content below.
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Microeconomic Theory
Microeconomic Theory
Economics
ISBN:
9781337517942
Author:
NICHOLSON
Publisher:
Cengage
Managerial Economics: Applications, Strategies an…
Managerial Economics: Applications, Strategies an…
Economics
ISBN:
9781305506381
Author:
James R. McGuigan, R. Charles Moyer, Frederick H.deB. Harris
Publisher:
Cengage Learning