A portfolio has with , , . The minimising is ________ (round off to 2 decimal places).
2 marksStatisticsJoint distributions, covariance and correlationVariance of sums and portfolio applicationsModerateabout 2 min
IIT JAM 2023 Question 57: Joint distributions, covariance and correlation
Answer and worked solution
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Plain-text version
A portfolio has R=wRₛ+(1-w)R_T with Var(Rₛ)=0.07, Var(R_T)=0.05, Cov(Rₛ,R_T)=0.04. The w minimising Var(R) is (round off to 2 decimal places).
Also written as: A portfolio has R=wR_s+(1-w)R_T with Var(R_s)=0.07, Var(R_T)=0.05, Cov(R_s,R_T)=0.04. The w minimising Var(R) is (round off to 2 decimal places).
Joint distributions, covariance and correlation has come up 61 times in 7 exams since 2005.
What this question tests
This question is on Variance of sums and portfolio applications, part of Joint distributions, covariance and correlation in Statistics.
The variance of combinations of variables and where it is used.
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