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