Consider two stocks with returns modeled as standard normal distributions (u= 0,02 = 1). Further, let these stocks have a correlation of -2. Now consider solving the portfolio variance minimization class, as was done in class. What is the portfolio weight

Nyrk_Qr
timer Asked: Jan 24th, 2021

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Consider two stocks with returns modeled as standard normal distributions (u= 0,02 = 1). Further, let these stocks have a correlation of -2. Now consider solving the portfolio variance minimization class, as was done in class. What is the portfolio weight we will put on stock 2? Consider a standard normal distribution (u= 0,02 = 1). What is E(22) ? Hint: Consider various definitions of the variance.
Consider two stocks with returns modeled as independent random exponential variables with XL = 1, 12 = 2. An exponential distribution has the probability density function f(c) = le-**, x > 0 Now consider solving the portfolio variance minimization class, as was done in class. What is the portfolio weight we will put on stock 1 (the asset modeled as having Xi = 1)?

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Consider two stocks with returns modeled as independent random exponential variables with A1 = 1, 12 = 2. An exponential distribution has the probability density function f(x) = le-*, x > 0 Now consider solving the portfolio variance minimization class, as was done in class. What is the portfolio weight we will put on stock 1 (the asset modeled as having Xi = 1)? Consider two stocks with returns modeled as standard normal distributions (y=0,02 = 1). Further, let these stocks have a correlation of - 2. Now consider solving the portfolio variance minimization class, as was done in class. What is the portfolio weight we will put on stock 2? Consider a standard normal distribution ( = 0,0% = 1). What is E(z) ? Hint: Consider various definitions of the variance.
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