CT8 September 2009 Q4 ii)

Discussion in 'CM2' started by laura_mils, Jul 22, 2020.

  1. laura_mils

    laura_mils Member

    In the solution to this in the revision booklet, this is found by using the equation of the variance and differentiating.
    Why don't we just use minimum variance portfolio formula to give us the asset weight? It gets the same result, but is 1 line of calculation instead of quite a few more.

    x=(V_Y-C_XY)/(V_X+V_Y-2C_XY)

    Thank you
     

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