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Search results with tag "Markowitz s mean variance formulation"
(2.1) Markowitz’s mean-variance formulation (2.2) Two …
www.math.hkust.edu.hkTwo-asset portfolio Consider two risky assets with known means R1 and R2, variances σ2 1 and σ22, of the expected rates of returns R1 and R2, together with the correlation coefficient ρ. Let 1 − α and α be the weights of assets 1 and 2 in this two-asset portfolio. Portfolio mean: RP = (1 − α)R1 + αR2,0 ≤ α ≤ 1 Portfolio variance ...