QuantForcesquant interview practice

RB_CH03_Q019. Two stocks same expected return 20%/30%, corr 50%

difficulty 1900·answer type: numeric·Not solved

Problem

Two stocks have the same expected return. One has standard deviation of returns of 20%, and the other has standard deviation of returns of 30%. The correlation between their returns is 50%. How do I allocate money between these two so as to minimize my risk?

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