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Consider two perfectly negatively correlated risky securities X and Y. X has an expected rate of return of 25% and a standard deviation of 15%. Y has an expected rate of return of 1% and a standard deviation of 12%. What are the weights of X and Y in the global minimum variance portfolio?
c = correlation coefficient
wX = ((.12^2) - .15(.12)(-1)) / ((.15^2) + (.12^2) - 2(.15)(.12)(-1))
wY = 1 - wX
How to compute, calculate the Weightings of Two Securities with perfect negative correlation in the Global Minimum Variance Portfolio the simple, shorter way
