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Two correlated assets · Part 3 of 3
Two zero-mean asset returns have variances 4 and 9 and covariance 1. A portfolio holds weight w in asset A and 1−w in asset B. Shorting is allowed.
The covariance estimate changes to zero while the two variances remain 4 and 9. What is the new minimum-variance weight in A? Give four decimal places.
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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