5278金融与交易困难数值题short

Variance Needed For One-Third Tangency Weight

题目

Two uncorrelated risky assets have expected returns 0.10 and 0.14, risk-free rate 0.05, and asset 1 variance 0.05. What variance would asset 2 need so that the tangency portfolio puts exactly one-third of the risky allocation in asset 2?

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