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5268金融与交易中等数值题short

Equal Risk Contribution Mix 3

题目

Two risky assets have volatilities 0.05 and 0.11, correlation 0.25, and expected returns 0.09 and 0.13. Under a fully invested long-only portfolio, choose weights so the two assets contribute equally to total variance. What are the weights and the portfolio expected return?

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你的答案

w1

w2

mean