How is a zero variance portfolio created if correlation coefficient btw asset is -1??
XA (weight of A) = σ B / (σ A + σ B) XB (weight of B) = 1 - XA
How is a zero variance portfolio created if correlation coefficient btw asset is -1??
XA (weight of A) = σ B / (σ A + σ B) XB (weight of B) = 1 - XA