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4097金融与交易中等数值题short

Two-Asset Equal Risk Contribution 2

题目

A two-asset equal-risk-contribution portfolio uses long-only weights that sum to 1. Asset A has vol 12.00\%, asset B has vol 18.00\%, and their correlation is -0.2. What weights equalize the two assets' variance contributions?

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你的答案

A

B