Exhibit 7B$\sigma$ 1 ) 2 - R 1$\sigma$ 1 ) E

The Answer of Exhibit 7B$\sigma$ 1 ) 2 - R 1$\sigma$ 1 ) E

Exhibit 7B$\sigma$ 1 ) 2 - R 1$\sigma$ 1 ) E

The Answer of Exhibit 7B$\sigma$ 1 ) 2 - R 1$\sigma$ 1 ) E

Solved

Exhibit 7B $\sigma$ ₁)² - R_{1 $\sigma$ ₁) E $\sigma$ ₂)] - [E $\sigma$}

Question 39

Multiple Choice

Exhibit 7B.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( $\sigma$ ₁) ² - r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂) ] - [E( $\sigma$ ₁) ² + E( $\sigma$ ₂) ² - 2 r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂) ]
-Refer to Exhibit 7B.1. What is the value of W₁ when r_1.2 = -1 and E( $\sigma$ ₁) = .10 and E( $\sigma$ ₂) = .12?

A) 45.46%
B) 50.00%
C) 59.45%
D) 54.55%
E) 74.55%

Exhibit 7B σ\sigmaσ 1)2 - R1 σ\sigmaσ 1) E σ\sigmaσ 2)] - [E σ\sigmaσ

Multiple Choice

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Exhibit 7B $\sigma$ ₁)² - R_{1 $\sigma$ ₁) E $\sigma$ ₂)] - [E $\sigma$}

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